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	31
α ARCH Response to squared shocks	0.2270	0.52
β GARCH Volatility persistence	0.8147	84.28***
γ leverage Additional response to negative shocks	-0.1986	-0.26
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.50
λ₂ forecast adj. Forecast performance sensitivity	0.0010	0.32
λ₃ tau persistence Long-term factor persistence	0.9809	124.37***

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Zhejiang Digital Culture Technology Group Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

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