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	0.1035	9.22***
β GARCH Volatility persistence	0.7761	69.22***
γ leverage Additional response to negative shocks	0.0675	5.01***
λ₁ tau intercept Baseline long-term coefficient	9.0943	1.89*
λ₂ forecast adj. Forecast performance sensitivity	0.6448	20.25***
λ₃ tau persistence Long-term factor persistence	0.3059	6.26***

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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