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	1.7218	3.90***
α ARCH Response to squared shocks	0.1516	5.58***
β GARCH Volatility persistence	0.7735	20.42***

γ₁	1.3669	3.16***
γ₂	-0.7166	-0.99
γ₃	-3.6115	-5.99***
γ₄	5.5241	12.45***
γ₅	-3.2244	-10.10***
γ₆	0.8015	2.71***
γ₇	-0.1630	-0.54
γ₈	0.0306	0.09
γ₉	-0.2150	-0.43

V-Lab

Zhongyu Energy Holdings Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Zhongyu Energy Holdings Ltd Analyses