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	0.9024	0.13
α ARCH Response to squared shocks	0.1908	0.00
β GARCH Volatility persistence	0.8092	0.01

γ₁	-0.1041	0.00
γ₂	-0.1961	0.00
γ₃	0.6780	0.01
γ₄	-0.6505	-0.04

V-Lab

CITIC Securities Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CITIC Securities Co Ltd Analyses