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	2.6918	0.00
α ARCH Response to squared shocks	0.3605	0.00
β GARCH Volatility persistence	0.6395	0.00

γ₁	-1.8803	-0.02
γ₂	2.4769	0.00
γ₃	-7.4251	0.00
γ₄	21.0595	0.00
γ₅	-28.7014	0.00
γ₆	25.9632	0.00
γ₇	-16.6339	0.00
γ₈	5.5754	0.00

V-Lab

Fujian SBS Zipper Science & Technology Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Fujian SBS Zipper Science & Technology Co Ltd Analyses