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	0.2156	0.52
β GARCH Volatility persistence	0.7657	83.53***
γ leverage Additional response to negative shocks	-0.2156	-0.28
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.74
λ₂ forecast adj. Forecast performance sensitivity	0.0367	0.65
λ₃ tau persistence Long-term factor persistence	0.9587	57.86***

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Hy Electronic (Cayman) Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hy Electronic (Cayman) Ltd Analyses