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	0.2879	2.41**
α ARCH Response to squared shocks	0.2559	5.59***
β GARCH Volatility persistence	0.7139	17.00***

γ₁	1.7283	3.78***
γ₂	-3.3484	-4.70***
γ₃	3.4889	8.37***
γ₄	-4.1309	-9.37***
γ₅	3.3591	4.70***

V-Lab

BOCOM International Holdings Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other BOCOM International Holdings Co Ltd Analyses