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	1.2230	2.26**
α ARCH Response to squared shocks	0.2351	26.90***
β GARCH Volatility persistence	0.7647	87.61***

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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