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	1.5584	4.15***
α ARCH Response to squared shocks	0.1044	8.26***
β GARCH Volatility persistence	0.8270	129.82***
γ leverage Additional response to negative shocks	0.1372	9.38***

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Datang Huayin Electric Power Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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