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	2.3996	5.46***
α ARCH Response to squared shocks	0.2816	2.72***
β GARCH Volatility persistence	0.4315	3.88***

γ₁	-2.6264	-2.56**
γ₂	7.7307	4.18***

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Shanghai REFIRE Group Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shanghai REFIRE Group Ltd Analyses