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	0.6324	0.87
α ARCH Response to squared shocks	0.2779	0.08
β GARCH Volatility persistence	0.7221	0.20

γ₁	0.2778	0.02
γ₂	-1.8078	-0.91
γ₃	3.5736	0.08
γ₄	-2.3575	-0.04
γ₅	-0.3293	-0.01

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Zhejiang Digital Culture Technology Group Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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