How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.1034	9.80***
β GARCH Volatility persistence	0.8416	50.94***
γ leverage Additional response to negative shocks	-0.1034	-8.16***
λ₁ tau intercept Baseline long-term coefficient	4.2012	2.18**
λ₂ forecast adj. Forecast performance sensitivity	0.5644	15.25***
λ₃ tau persistence Long-term factor persistence	0.3893	10.43***

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& Do Holdings Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

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