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	0.7517	0.00
α ARCH Response to squared shocks	0.2253	0.00
β GARCH Volatility persistence	0.7747	0.00

γ₁	-0.6400	0.00
γ₂	0.8571	0.01
γ₃	-0.2564	-0.01
γ₄	0.0524	0.00

V-Lab

Huadian Power International Corp Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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