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	0.0823	12.24***
β GARCH Volatility persistence	0.8948	262.62***
γ leverage Additional response to negative shocks	-0.0270	-1.91*
λ₁ tau intercept Baseline long-term coefficient	3.3165	7.29***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9968	550.44***

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Qing Song Health Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Qing Song Health Co Ltd Analyses