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	1.3167	2.42**
α ARCH Response to squared shocks	0.2169	10.58***
β GARCH Volatility persistence	0.7827	38.05***

γ₁	0.0104	0.10
γ₂	-1.0833	-5.18***
γ₃	3.1028	7.98***
γ₄	-4.2545	-7.08***
γ₅	1.5504	1.52
γ₆	2.9632	1.55
γ₇	-0.6168	-0.32
γ₈	-5.1971	-1.75*

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Shenzhen Zhongheng Huafa Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shenzhen Zhongheng Huafa Co Ltd Analyses