How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	116
α ARCH Response to squared shocks	0.2912	19.77***
β GARCH Volatility persistence	0.7440	112.51***
γ leverage Additional response to negative shocks	-0.0805	-2.43**
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0129	3.76***
λ₃ tau persistence Long-term factor persistence	0.9871	161.76***

V-Lab

Fly-E Group Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Fly-E Group Inc Analyses