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	36
α ARCH Response to squared shocks	0.1649	2.57**
β GARCH Volatility persistence	0.7784	191.72***
γ leverage Additional response to negative shocks	0.1130	0.83
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.05
λ₂ forecast adj. Forecast performance sensitivity	0.5253	11.15***
λ₃ tau persistence Long-term factor persistence	0.4747	2.41**

V-Lab

Arich Enterprise Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Arich Enterprise Co Ltd Analyses