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	0.4290	0.01
α ARCH Response to squared shocks	0.2479	0.00
β GARCH Volatility persistence	0.7521	0.00

γ₁	-0.1164	0.00
γ₂	-0.3449	0.00
γ₃	0.8692	0.05
γ₄	-0.6398	-0.15
γ₅	0.4496	0.03

V-Lab

Shanghai Electric Power Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shanghai Electric Power Co Ltd Analyses