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	4.3695	25.36***
α ARCH Response to squared shocks	0.2212	12.47***
β GARCH Volatility persistence	0.7280	87.63***
γ leverage Additional response to negative shocks	0.1016	6.29***

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Rizhao Port Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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