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	0.0997	4.04***
β GARCH Volatility persistence	0.8773	39.85***
γ leverage Additional response to negative shocks	-0.0997	-10.00***
λ₁ tau intercept Baseline long-term coefficient	10.0000	12.55***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9863	185.43***

V-Lab

Alibaba Group Hldg ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Alibaba Group Hldg Analyses