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	66
α ARCH Response to squared shocks	0.7487	131.44***
β GARCH Volatility persistence	0.0327	19.78***
γ leverage Additional response to negative shocks	0.1165	8.64***
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.73*
λ₂ forecast adj. Forecast performance sensitivity	0.0623	8.22***
λ₃ tau persistence Long-term factor persistence	0.9377	36.60***

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Chongqing Zhixin Industrial Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Chongqing Zhixin Industrial Co Ltd Analyses