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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	1.0999	3.26***
α ARCH Response to squared shocks	0.1554	3.30***
β GARCH Volatility persistence	0.5930	4.20***

γ₁	8.2101	1.74*
γ₂	-14.2881	-1.86*
γ₃	12.3408	2.45**
γ₄	-11.4655	-2.06**
γ₅	7.0879	0.98
γ₆	1.6920	0.32
γ₇	-7.8136	-2.65***
γ₈	3.5462	0.94
γ₉	5.7654	1.24
γ₁₀	-8.5001	-2.47**

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Zhongchao Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Zhongchao Inc Analyses