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	2.4931	2.94***
α ARCH Response to squared shocks	0.1243	5.37***
β GARCH Volatility persistence	0.8541	31.07***

γ₁	1.1819	3.15***
γ₂	-2.4916	-4.65***
γ₃	2.2807	6.93***
γ₄	-1.6155	-4.32***

V-Lab

Jia Yao Holdings Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Jia Yao Holdings Ltd Analyses