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	1.1670	4.07***
α ARCH Response to squared shocks	0.1756	5.20***
β GARCH Volatility persistence	0.8242	24.27***

γ₁	-0.0827	-0.74
γ₂	0.1371	0.58
γ₃	-0.2836	-0.90
γ₄	0.5375	1.65*
γ₅	-0.4881	-2.29**

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Zhejiang Daily Digital Culture Group Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Zhejiang Daily Digital Culture Group Co Ltd Analyses