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	3.2992	3.16***
α ARCH Response to squared shocks	0.3952	5.97***
β GARCH Volatility persistence	0.5897	10.38***

γ₁	-17.5979	-1.27
γ₂	43.0465	1.31
γ₃	-45.5037	-1.50
γ₄	33.8975	1.86*
γ₅	-22.0398	-1.72*
γ₆	10.2296	1.55
γ₇	-2.8183	-1.12
γ₈	1.6985	1.06
γ₉	0.7689	0.67

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

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shanghai LongYun Media Group Co., Ltd. Analyses