How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0804	4.80***
α ARCH Response to squared shocks	0.2099	4.10***
β GARCH Volatility persistence	0.7202	10.69***

γ₁	-1.5690	-1.10
γ₂	9.3834	3.56***

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Fangzhou Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Fangzhou Inc Analyses