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	26
α ARCH Response to squared shocks	0.2155	6.61***
β GARCH Volatility persistence	0.8322	245.98***
γ leverage Additional response to negative shocks	-0.0979	-1.43
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.04
λ₂ forecast adj. Forecast performance sensitivity	0.0188	4.09***
λ₃ tau persistence Long-term factor persistence	0.9667	547.71***

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Big Digital Energy Inc ILLIQ-MFMEM Liquidity Analysis

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