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	1.7611	11.51***
α ARCH Response to squared shocks	0.3654	6.93***
β GARCH Volatility persistence	0.6568	70.89***
γ leverage Additional response to negative shocks	-0.0444	-0.78

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Zhejiang Century Huatong Group Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Zhejiang Century Huatong Group Co Ltd Analyses