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	66
α ARCH Response to squared shocks	0.0390	3.56***
β GARCH Volatility persistence	0.9553	851.39***
γ leverage Additional response to negative shocks	-0.0091	-0.40
λ₁ tau intercept Baseline long-term coefficient	10.0000	3.07***
λ₂ forecast adj. Forecast performance sensitivity	0.9404	3.48***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Tencent Music Entertainment Group ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tencent Music Entertainment Group Analyses