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	1.3267	2.42**
α ARCH Response to squared shocks	0.2173	10.57***
β GARCH Volatility persistence	0.7823	37.93***

γ₁	0.0181	0.17
γ₂	-1.0998	-5.22***
γ₃	3.1114	7.84***
γ₄	-4.2061	-6.89***
γ₅	1.4330	1.40
γ₆	2.9884	1.57
γ₇	-0.4474	-0.23
γ₈	-5.3432	-1.77*

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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