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	0.2573	4.80***
β GARCH Volatility persistence	0.7552	119.39***
γ leverage Additional response to negative shocks	-0.0283	-0.29
λ₁ tau intercept Baseline long-term coefficient	0.3521	6.42***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9987	1,166.65***

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Beijing Jingneng Power Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Beijing Jingneng Power Co Ltd Analyses