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	5.0000	1.97**
α ARCH Response to squared shocks	0.0460	6.64***
β GARCH Volatility persistence	0.8162	71.77***
γ leverage Additional response to negative shocks	0.2756	4.31***

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Shanghai LongYun Media Group Co., Ltd. Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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