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	0.5860	5.60***
α ARCH Response to squared shocks	0.2563	5.77***
β GARCH Volatility persistence	0.7437	16.72***

γ₁	0.0721	1.67*
γ₂	-0.3117	-2.22**
γ₃	0.7766	2.79***

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CCS Supply Chain Management Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CCS Supply Chain Management Co Ltd Analyses