How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.4430	0.72
β GARCH Volatility persistence	0.6442	41.61***
γ leverage Additional response to negative shocks	-0.4430	-0.36
λ₁ tau intercept Baseline long-term coefficient	0.2789	0.93
λ₂ forecast adj. Forecast performance sensitivity	0.0425	0.72
λ₃ tau persistence Long-term factor persistence	0.9575	396.17***

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China Aluminum Int Engr Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

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