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	21
α ARCH Response to squared shocks	0.1706	0.69
β GARCH Volatility persistence	0.7460	9.11***
γ leverage Additional response to negative shocks	-0.1706	-0.29
λ₁ tau intercept Baseline long-term coefficient	8.0171	3.29***
λ₂ forecast adj. Forecast performance sensitivity	0.1612	5.63***
λ₃ tau persistence Long-term factor persistence	0.8388	3.51***

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Soonest Express Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Soonest Express Co Ltd Analyses