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	1.5135	5.67***
α ARCH Response to squared shocks	0.2056	16.11***
β GARCH Volatility persistence	0.7693	41.08***

γ₁	0.2936	1.37
γ₂	-1.1893	-3.54***
γ₃	1.7942	11.49***
γ₄	-1.1639	-12.09***
γ₅	0.3159	3.07***
γ₆	-0.1236	-1.03

V-Lab

CRRC Corp Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CRRC Corp Ltd Analyses