How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7674	3.53***
α ARCH Response to squared shocks	0.3053	10.58***
β GARCH Volatility persistence	0.6943	24.11***

γ₁	0.0316	1.56
γ₂	-0.2394	-1.98**

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Shenzhen CAU Technology Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shenzhen CAU Technology Co Ltd Analyses