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	0.5526	0.02
β GARCH Volatility persistence	0.6190	7.78***
γ leverage Additional response to negative shocks	-0.5000	-0.01
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.02
λ₂ forecast adj. Forecast performance sensitivity	0.9995	0.02
λ₃ tau persistence Long-term factor persistence	0.0005	0.02

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Major-Power Technology Co Lt ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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