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	2.4961	6.30***
α ARCH Response to squared shocks	0.1472	5.54***
β GARCH Volatility persistence	0.7783	90.11***
γ leverage Additional response to negative shocks	0.0845	1.48

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Zhejiang Zheneng Electric Power Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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