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	0.6285	3.86***
α ARCH Response to squared shocks	0.0423	4.56***
β GARCH Volatility persistence	0.8504	172.32***
γ leverage Additional response to negative shocks	0.2146	13.34***

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Zhejiang Daily Digital Culture Group Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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