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	126
α ARCH Response to squared shocks	0.2373	2.25**
β GARCH Volatility persistence	0.7836	193.01***
γ leverage Additional response to negative shocks	-0.2373	-1.75*
λ₁ tau intercept Baseline long-term coefficient	10.0000	3.00***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.12
λ₃ tau persistence Long-term factor persistence	0.9467	159.88***

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Sohu.com Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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