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	0.7659	5.82***
α ARCH Response to squared shocks	0.1862	6.39***
β GARCH Volatility persistence	0.7982	180.10***
γ leverage Additional response to negative shocks	0.0312	0.87

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Shanghai Electric Power Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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