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	126
α ARCH Response to squared shocks	0.3138	0.64
β GARCH Volatility persistence	0.7663	174.43***
γ leverage Additional response to negative shocks	-0.2089	-0.23
λ₁ tau intercept Baseline long-term coefficient	0.0000	1.00
λ₂ forecast adj. Forecast performance sensitivity	0.0002	0.08
λ₃ tau persistence Long-term factor persistence	0.9863	152.11***

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Sichuan Chuantou Energy Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sichuan Chuantou Energy Co Ltd Analyses