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	41
α ARCH Response to squared shocks	0.2107	1.58
β GARCH Volatility persistence	0.8013	38.62***
γ leverage Additional response to negative shocks	-0.0479	-0.21
λ₁ tau intercept Baseline long-term coefficient	0.6979	1.85*
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.03
λ₃ tau persistence Long-term factor persistence	0.9960	2,490.10***

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La Kaffa International Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other La Kaffa International Co Ltd Analyses