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	0.1945	0.90
β GARCH Volatility persistence	0.7425	27.64***
γ leverage Additional response to negative shocks	-0.1945	-0.47
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.10
λ₂ forecast adj. Forecast performance sensitivity	0.8340	1.14
λ₃ tau persistence Long-term factor persistence	0.0668	0.58

V-Lab

Feitian Technologies Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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