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	66
α ARCH Response to squared shocks	0.1611	1.35
β GARCH Volatility persistence	0.8531	275.64***
γ leverage Additional response to negative shocks	-0.0925	-0.43
λ₁ tau intercept Baseline long-term coefficient	1.3698	1.93*
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9956	321.90***

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EnTie Commercial Bank Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other EnTie Commercial Bank Co Ltd Analyses