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	126
α ARCH Response to squared shocks	0.4382	6.28***
β GARCH Volatility persistence	0.6200	192.78***
γ leverage Additional response to negative shocks	-0.4382	-3.69***
λ₁ tau intercept Baseline long-term coefficient	10.0000	7.92***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	10.00***
λ₃ tau persistence Long-term factor persistence	0.9439	647.85***

V-Lab

Taiwan Auto-Design Co ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Taiwan Auto-Design Co Analyses