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	1.0974	4.09***
α ARCH Response to squared shocks	0.2451	17.09***
β GARCH Volatility persistence	0.7542	52.68***

γ₁	-0.1315	-0.79
γ₂	-0.1080	-0.36
γ₃	1.2044	2.79***
γ₄	-1.8940	-3.08***
γ₅	1.1652	1.87*
γ₆	-0.1409	-0.32
γ₇	-0.2052	-1.26
γ₈	0.1884	1.36

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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

Other Hongmian Zhihui Science And Technology Innovation Co Ltd Guangzhou Analyses