How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0632	1.48
β GARCH Volatility persistence	0.8026	48.69***
γ leverage Additional response to negative shocks	0.0797	0.67
λ₁ tau intercept Baseline long-term coefficient	3.8256	0.83
λ₂ forecast adj. Forecast performance sensitivity	0.6687	3.35***
λ₃ tau persistence Long-term factor persistence	0.3043	0.68

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Zhejiang Zheneng Electric Power Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Zhejiang Zheneng Electric Power Co Ltd Analyses