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	66
α ARCH Response to squared shocks	0.3036	8.81***
β GARCH Volatility persistence	0.4464	8.37***
γ leverage Additional response to negative shocks	0.5000	6.72***
λ₁ tau intercept Baseline long-term coefficient	9.9973	1.03
λ₂ forecast adj. Forecast performance sensitivity	1.0000	1.34
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Hushan Autoparts Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hushan Autoparts Inc Analyses