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	106
α ARCH Response to squared shocks	0.2465	19.53***
β GARCH Volatility persistence	0.7442	320.07***
γ leverage Additional response to negative shocks	0.0060	0.23
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.9571	18.45***
λ₃ tau persistence Long-term factor persistence	0.0143	9.47***

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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