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	0.2603	8.27***
β GARCH Volatility persistence	0.7248	204.45***
γ leverage Additional response to negative shocks	-0.2603	-3.59***
λ₁ tau intercept Baseline long-term coefficient	10.0000	12.54***
λ₂ forecast adj. Forecast performance sensitivity	0.8233	7.50***
λ₃ tau persistence Long-term factor persistence	0.0000	0.50

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Guangzhou Devotion Thermal Technology Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

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