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	31
α ARCH Response to squared shocks	0.2385	0.01
β GARCH Volatility persistence	0.5479	0.92
γ leverage Additional response to negative shocks	-0.2385	0.00
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.01
λ₂ forecast adj. Forecast performance sensitivity	0.3126	0.01
λ₃ tau persistence Long-term factor persistence	0.6874	0.07

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BOCOM International Holdings Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other BOCOM International Holdings Co Ltd Analyses