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	3.3708	8.69***
α ARCH Response to squared shocks	0.1523	12.96***
β GARCH Volatility persistence	0.7764	159.85***
γ leverage Additional response to negative shocks	0.1426	10.35***

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Beijing Jingneng Power Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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