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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
m window Rolling window length	21
α ARCH Response to squared shocks	0.5000	12.87***
β GARCH Volatility persistence	0.0166	3.34***
γ leverage Additional response to negative shocks	-0.5000	-12.25***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.32
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.7224	0.94

V-Lab

ZJK Industrial Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ZJK Industrial Co Ltd Analyses