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	21
α ARCH Response to squared shocks	0.1548	0.81
β GARCH Volatility persistence	0.7459	311.17***
γ leverage Additional response to negative shocks	0.1407	0.37
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.75
λ₂ forecast adj. Forecast performance sensitivity	0.9963	0.80
λ₃ tau persistence Long-term factor persistence	0.0000	0.83

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Beijing Sifang Automation Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Beijing Sifang Automation Co Ltd Analyses