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	5.0000	0.10
α ARCH Response to squared shocks	0.0867	5.47***
β GARCH Volatility persistence	0.8931	268.29***
γ leverage Additional response to negative shocks	0.0403	1.67*

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Xiaomi Corporation Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

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