How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.3641	0.77
β GARCH Volatility persistence	0.6851	20.55***
γ leverage Additional response to negative shocks	-0.3641	-0.39
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0248	1.06
λ₃ tau persistence Long-term factor persistence	0.9697	110.17***

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Productive Technologies Co Ltd ILLIQ-MFMEM Liquidity Analysis

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Illiquidity Forecast

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