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	5.0000	0.52
α ARCH Response to squared shocks	0.2419	3.51***
β GARCH Volatility persistence	0.6514	18.88***
γ leverage Additional response to negative shocks	0.2133	1.98**

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Ningxia Western Venture Industrial Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

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