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	31
α ARCH Response to squared shocks	0.2010	0.87
β GARCH Volatility persistence	0.7225	33.44***
γ leverage Additional response to negative shocks	-0.2010	-0.41
λ₁ tau intercept Baseline long-term coefficient	2.6379	1.62
λ₂ forecast adj. Forecast performance sensitivity	0.1203	1.42
λ₃ tau persistence Long-term factor persistence	0.8797	15.68***

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TVE Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other TVE Co Ltd Analyses