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	0.7640	0.14
α ARCH Response to squared shocks	0.2117	0.00
β GARCH Volatility persistence	0.7883	0.01

γ₁	0.6008	0.00
γ₂	-1.5764	0.00
γ₃	1.2691	0.00
γ₄	-0.1683	0.00
γ₅	-0.2194	0.00
γ₆	0.1009	0.00
γ₇	-0.0048	0.00

V-Lab

China Yangtze Power Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other China Yangtze Power Co Ltd Analyses