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	0.1622	0.01
β GARCH Volatility persistence	0.8620	101.57***
γ leverage Additional response to negative shocks	-0.1217	-0.01
λ₁ tau intercept Baseline long-term coefficient	0.0013	0.01
λ₂ forecast adj. Forecast performance sensitivity	0.4794	0.01
λ₃ tau persistence Long-term factor persistence	0.0000	0.01

V-Lab

Ching Chan Optical Techno ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ching Chan Optical Techno Analyses