Research Article
Ultrahigh Frequency Data Liquidity Duration Estimation: A Case Study of Chinese A Shares
Table 7
Whole transaction volume duration WACD (1, 2) estimate.
| | | ω | α | β | γ |
| | SH600048 | 4.5587 | 0.5105 |
[0.5505, −0.0549] | 1.6921 | | SH600247 | 10.016 | 0.9659 | [−0.0319, 0.1387] | 1.3322 | | SH600383 | 8.6559 | 0.6542 | [0.3118, 0.0259] | 1.7825 |
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