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	0.6235	15.28***
α ARCH Response to squared shocks	0.1846	20.51***
β GARCH Volatility persistence	0.7873	313.65***
γ leverage Additional response to negative shocks	0.0554	3.55***

V-Lab

CRRC Corp Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CRRC Corp Ltd Analyses