How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.2768	30.14***
β GARCH Volatility persistence	0.5996	76.81***
γ leverage Additional response to negative shocks	0.0538	6.43***
λ₁ tau intercept Baseline long-term coefficient	4,445.6351

V-Lab

Xunfei Healthcare Tech Co ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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