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	0.2595	14.29***
β GARCH Volatility persistence	0.7255	53.25***
γ leverage Additional response to negative shocks	-0.2595	-2.93***
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.82***
λ₂ forecast adj. Forecast performance sensitivity	0.8239	14.56***
λ₃ tau persistence Long-term factor persistence	0.0000	0.24

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Guangzhou Devotion Thermal Technology Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

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