{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9123	0.46
α ARCH Response to squared shocks	0.1914	0.00
β GARCH Volatility persistence	0.8086	0.01

γ₁	-0.0998	0.00
γ₂	-0.2050	0.00
γ₃	0.6836	0.02
γ₄	-0.6474	-0.04

V-Lab

CITIC Securities Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Liquidity Forecast

Parameter Estimates

Other CITIC Securities Co Ltd Analyses