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	0.6266	15.28***
α ARCH Response to squared shocks	0.1847	20.50***
β GARCH Volatility persistence	0.7870	313.91***
γ leverage Additional response to negative shocks	0.0557	3.57***

V-Lab

CRRC Corp Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CRRC Corp Ltd Analyses