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	121
α ARCH Response to squared shocks	0.2292	11.52***
β GARCH Volatility persistence	0.8233	200.56***
γ leverage Additional response to negative shocks	-0.1243	-3.76***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.04
λ₂ forecast adj. Forecast performance sensitivity	0.0008	3.55***
λ₃ tau persistence Long-term factor persistence	0.9887	3,220.44***

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Big Digital Energy Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

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