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	1.1125	5.29***
α ARCH Response to squared shocks	0.2622	21.73***
β GARCH Volatility persistence	0.7302	68.59***

γ₁	-0.4359	-2.32**
γ₂	0.2830	0.80
γ₃	0.5912	2.05**
γ₄	-0.6747	-4.01***
γ₅	0.3607	2.82***
γ₆	-0.1243	-0.60

V-Lab

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

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shanghai Hi-Tech Control System Co Ltd Analyses