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	0.1250	2.90***
β GARCH Volatility persistence	0.7883	138.13***
γ leverage Additional response to negative shocks	0.1186	1.38
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.86*
λ₂ forecast adj. Forecast performance sensitivity	0.9273	2.96***
λ₃ tau persistence Long-term factor persistence	0.0501	2.00**

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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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