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	0.9366	4.81***
α ARCH Response to squared shocks	0.2161	21.75***
β GARCH Volatility persistence	0.7835	79.11***

γ₁	-0.1258	-3.03***
γ₂	0.4014	5.97***
γ₃	-0.6279	-12.35***
γ₄	0.5908	12.34***
γ₅	-0.3637	-6.56***

V-Lab

Changhong Meiling Company Co., Ltd. Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Changhong Meiling Company Co., Ltd. Analyses