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	0.5796	0.01
α ARCH Response to squared shocks	0.1960	0.00
β GARCH Volatility persistence	0.8040	0.02

γ₁	-0.4495	0.00
γ₂	-0.3743	0.00
γ₃	2.5319	0.03
γ₄	-4.4784	-0.02
γ₅	5.0390	0.04
γ₆	-2.7759	-0.15
γ₇	1.2168	0.00
γ₈	-1.0142	0.00

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Tongda Group Holdings Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tongda Group Holdings Ltd Analyses