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	0.2105	0.27
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.5000	0.33
λ₁ tau intercept Baseline long-term coefficient	5.0393	0.03
λ₂ forecast adj. Forecast performance sensitivity	0.0369	0.07
λ₃ tau persistence Long-term factor persistence	0.9632	0.82

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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