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	126
α ARCH Response to squared shocks	0.1308	0.96
β GARCH Volatility persistence	0.8796	282.93***
γ leverage Additional response to negative shocks	-0.1308	-0.66
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.12
λ₂ forecast adj. Forecast performance sensitivity	0.0034	1.33
λ₃ tau persistence Long-term factor persistence	0.7204	16.76***

V-Lab

Xiaomi Corporation ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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