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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	1.1183	3.33***
α ARCH Response to squared shocks	0.1627	3.38***
β GARCH Volatility persistence	0.5727	3.94***

γ₁	7.5773	1.68*
γ₂	-13.1614	-1.77*
γ₃	11.3766	2.34**
γ₄	-10.8098	-2.14**
γ₅	7.1605	1.03
γ₆	1.1643	0.22
γ₇	-7.9988	-2.87***
γ₈	5.1456	1.70*
γ₉	3.3524	0.82
γ₁₀	-6.6283	-2.11**

V-Lab

Zhongchao Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Zhongchao Inc Analyses