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	51
α ARCH Response to squared shocks	0.1677	0.92
β GARCH Volatility persistence	0.8172	160.46***
γ leverage Additional response to negative shocks	-0.1677	-0.47
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.24
λ₂ forecast adj. Forecast performance sensitivity	0.0206	1.12
λ₃ tau persistence Long-term factor persistence	0.9768	195.28***

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Sougou Shouken Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sougou Shouken Co Ltd Analyses