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	3.8248	11.36***
α ARCH Response to squared shocks	0.1119	26.82***
β GARCH Volatility persistence	0.7824	432.74***
γ leverage Additional response to negative shocks	0.2070	29.23***

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Shanghai Hi-Tech Control System Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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