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	2.4913	1.76*
α ARCH Response to squared shocks	0.2510	2.58***
β GARCH Volatility persistence	0.7489	7.72***

γ₁	-41.5632	-2.90***
γ₂	69.1824	2.81***
γ₃	-39.2342	-2.47**
γ₄	12.2921	1.56
γ₅	0.6829	0.19
γ₆	0.0884	0.02
γ₇	-5.0283	-1.11
γ₈	6.6744	1.62
γ₉	-4.4138	-0.92

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Youngqin Intl Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Youngqin Intl Co Ltd Analyses