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	1.0671	4.78***
α ARCH Response to squared shocks	0.2085	4.23***
β GARCH Volatility persistence	0.7272	11.29***

γ₁	-0.9522	-0.68
γ₂	8.0892	3.15***

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Fangzhou Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Fangzhou Inc Analyses