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	1.1573	1.87*
α ARCH Response to squared shocks	0.2299	25.45***
β GARCH Volatility persistence	0.7690	85.99***

γ₁	0.1279	1.64
γ₂	-0.1965	-1.71*
γ₃	0.0663	0.59

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Zhejiang Zheneng Electric Power Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Zhejiang Zheneng Electric Power Co Ltd Analyses