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	0.7825	5.93***
α ARCH Response to squared shocks	0.1863	6.39***
β GARCH Volatility persistence	0.7981	179.58***
γ leverage Additional response to negative shocks	0.0313	0.87

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Shanghai Electric Power Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

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