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	21
α ARCH Response to squared shocks	0.1247	2.38**
β GARCH Volatility persistence	0.7841	93.75***
γ leverage Additional response to negative shocks	0.0337	0.32
λ₁ tau intercept Baseline long-term coefficient	3.7646	1.50
λ₂ forecast adj. Forecast performance sensitivity	0.9124	2.56**
λ₃ tau persistence Long-term factor persistence	0.0646	1.67*

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Suzhou Recodeal Interconnect System Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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