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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	2.7032	2.73***
α ARCH Response to squared shocks	0.1932	1.39
β GARCH Volatility persistence	0.1741	0.77

γ₁	2.8860	2.79***
γ₂	-2.8622	-2.36**

V-Lab

ZJK Industrial Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ZJK Industrial Co Ltd Analyses