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	1.0631	3.66***
α ARCH Response to squared shocks	0.2526	18.99***
β GARCH Volatility persistence	0.7467	55.66***

γ₁	-0.2634	-1.06
γ₂	-0.3288	-0.43
γ₃	2.2471	1.19
γ₄	-2.3617	-1.12
γ₅	-0.8091	-0.62
γ₆	3.9337	2.07**
γ₇	-3.8614	-1.85*
γ₈	1.9432	1.65*
γ₉	-0.8875	-1.62

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Hongmian Zhihui Science And Technology Innovation Co Ltd Guangzhou Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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