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	41
α ARCH Response to squared shocks	0.2817	0.20
β GARCH Volatility persistence	0.7597	49.96***
γ leverage Additional response to negative shocks	-0.2817	-0.10
λ₁ tau intercept Baseline long-term coefficient	3.4821	0.27
λ₂ forecast adj. Forecast performance sensitivity	0.1154	0.24
λ₃ tau persistence Long-term factor persistence	0.8846	9.88***

V-Lab

Haosen Fintech Group Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Haosen Fintech Group Ltd Analyses