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	36
α ARCH Response to squared shocks	0.0004
β GARCH Volatility persistence	0.8059
γ leverage Additional response to negative shocks	0.1390
λ₁ tau intercept Baseline long-term coefficient	0.0101	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0754	22.09***
λ₃ tau persistence Long-term factor persistence	0.9104	100.41***

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Shanghai Forest Cabin Cosmetics Group Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shanghai Forest Cabin Cosmetics Group Co Ltd Analyses