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	0.0538	1.79*
β GARCH Volatility persistence	0.9603	350.22***
γ leverage Additional response to negative shocks	-0.0382	-0.55
λ₁ tau intercept Baseline long-term coefficient	0.0000	1.50
λ₂ forecast adj. Forecast performance sensitivity	0.0009	1.64
λ₃ tau persistence Long-term factor persistence	0.0000	2.00**

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Nanshan Aluminium Internatio ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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