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	1.0662	4.03***
α ARCH Response to squared shocks	0.1393	3.53***
β GARCH Volatility persistence	0.8752	763.04***
γ leverage Additional response to negative shocks	-0.0290	-0.58

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Huadian Power International Corp Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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