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	0.1859	2.37**
β GARCH Volatility persistence	0.7933	50.27***
γ leverage Additional response to negative shocks	0.0163	0.12
λ₁ tau intercept Baseline long-term coefficient	10.0000	5.47***
λ₂ forecast adj. Forecast performance sensitivity	0.0400	19.96***
λ₃ tau persistence Long-term factor persistence	0.9588	57.24***

V-Lab

San Shing Fastech ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other San Shing Fastech Analyses