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	1.2755	0.21
α ARCH Response to squared shocks	0.2179	0.21
β GARCH Volatility persistence	0.7821	0.77

γ₁	-0.5404	-5.53***
γ₂	1.3457	12.61***
γ₃	-1.5747	-18.18***
γ₄	1.1592	5.99***
γ₅	-0.5612	-7.75***
γ₆	0.2973	0.72

V-Lab

Jinneng Holding Shanxi Electric Power Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Jinneng Holding Shanxi Electric Power Co Ltd Analyses