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	2.9774
α ARCH Response to squared shocks	0.2444
β GARCH Volatility persistence	0.7556

γ₁	0.2509
γ₂	-0.7894
γ₃	0.9322
γ₄	-0.5600
γ₅	0.2265

V-Lab

Beijing Jingneng Power Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Beijing Jingneng Power Co Ltd Analyses