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	0.3459
α ARCH Response to squared shocks	0.1725
β GARCH Volatility persistence	0.8275

γ₁	0.6503
γ₂	-0.6313
γ₃	0.5177
γ₄	-2.0760
γ₅	2.1923

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Hengyuan Refining Co Bhd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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