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	51
α ARCH Response to squared shocks	0.1917	2.08**
β GARCH Volatility persistence	0.8259	74.32***
γ leverage Additional response to negative shocks	-0.0352	-0.54
λ₁ tau intercept Baseline long-term coefficient	0.0000	1.00
λ₂ forecast adj. Forecast performance sensitivity	0.0429	1.96*
λ₃ tau persistence Long-term factor persistence	0.0000	2.00**

V-Lab

Dida Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Dida Inc Analyses