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	0.0858	14.95***
α ARCH Response to squared shocks	0.2308	8.89***
β GARCH Volatility persistence	0.8040	196.10***
γ leverage Additional response to negative shocks	-0.0696	-1.95*

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China Yangtze Power Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other China Yangtze Power Co Ltd Analyses