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	0.1876	7.84***
β GARCH Volatility persistence	0.8198	74.04***
γ leverage Additional response to negative shocks	-0.1876	-4.81***
λ₁ tau intercept Baseline long-term coefficient	0.0246	0.48
λ₂ forecast adj. Forecast performance sensitivity	0.7621	13.96***
λ₃ tau persistence Long-term factor persistence	0.2380	23.74***

V-Lab

China Yangtze Power Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other China Yangtze Power Co Ltd Analyses