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	1.1046	4.70***
α ARCH Response to squared shocks	0.2112	4.44***
β GARCH Volatility persistence	0.7317	11.77***

γ₁	-0.5948	-0.41
γ₂	7.0375	2.70***

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Fangzhou Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Fangzhou Inc Analyses