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	86
α ARCH Response to squared shocks	0.1812	3.85***
β GARCH Volatility persistence	0.8189	146.47***
γ leverage Additional response to negative shocks	-0.1812	-1.66*
λ₁ tau intercept Baseline long-term coefficient	1.2036	17.78***
λ₂ forecast adj. Forecast performance sensitivity	0.0273	28.68***
λ₃ tau persistence Long-term factor persistence	0.9687	119.94***

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Kedge Construction Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kedge Construction Co Ltd Analyses