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	1.11
α ARCH Response to squared shocks	0.1827	10.08***
β GARCH Volatility persistence	0.7745	145.72***
γ leverage Additional response to negative shocks	0.0856	1.95*

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Shandong Xinneng Taishan Power Generation Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

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