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	91
α ARCH Response to squared shocks	0.2571	5.06***
β GARCH Volatility persistence	0.7553	131.30***
γ leverage Additional response to negative shocks	-0.0279	-0.30
λ₁ tau intercept Baseline long-term coefficient	0.4286	6.20***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9987	1,239.02***

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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