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How returns affect tomorrow's illiquidity

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Param	Value	t-stat
ωconst	0.7172	3.91***
αARCH	0.0771	3.05***
βGARCH	0.9219	36.88***

γ₁	-0.9659	-1.68*
γ₂	2.3154	1.80*
γ₃	-2.1694	-1.84*
γ₄	0.8903	1.47
γ₅	-0.1563	-0.29
γ₆	0.3179	0.46
γ₇	-0.3320	-0.63
γ₈	0.1037	0.37

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7172	3.91***
α ARCH Response to squared shocks	0.0771	3.05***
β GARCH Volatility persistence	0.9219	36.88***

γ₁	-0.9659	-1.68*
γ₂	2.3154	1.80*
γ₃	-2.1694	-1.84*
γ₄	0.8903	1.47
γ₅	-0.1563	-0.29
γ₆	0.3179	0.46
γ₇	-0.3320	-0.63
γ₈	0.1037	0.37

V-Lab

China Southern Airlines Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other China Southern Airlines Co Ltd Analyses