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	36
α ARCH Response to squared shocks	0.1031	1.52
β GARCH Volatility persistence	0.7772	21.97***
γ leverage Additional response to negative shocks	0.0348	0.31
λ₁ tau intercept Baseline long-term coefficient	8.0626	4.01***
λ₂ forecast adj. Forecast performance sensitivity	0.6428	3.09***
λ₃ tau persistence Long-term factor persistence	0.3066	1.53

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Wuxi Paike New Materials Technology Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Wuxi Paike New Materials Technology Co Ltd Analyses