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	4.7468	5.91***
α ARCH Response to squared shocks	0.1011	19.97***
β GARCH Volatility persistence	0.7951	83.46***
γ leverage Additional response to negative shocks	0.2077	8.41***

V-Lab

Fortune Oriental Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Fortune Oriental Co Ltd Analyses