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	0.1424	1.33
β GARCH Volatility persistence	0.8075	27.07***
γ leverage Additional response to negative shocks	-0.1424	-0.57
λ₁ tau intercept Baseline long-term coefficient	0.0375	4.40***
λ₂ forecast adj. Forecast performance sensitivity	0.0515	10.32***
λ₃ tau persistence Long-term factor persistence	0.9460	23.21***

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Jiangsu Pacific Quartz Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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