Research Article
Ultrahigh Frequency Data Liquidity Duration Estimation: A Case Study of Chinese A Shares
Table 8
Whole transaction volume duration WACD (2, 1) estimate.
| | | ω | α | β | γ |
| | SH600048 | 5.0016 | [0.5129, 0.0492] | 0.4442 | 1.6927 | | SH600247 | 5.9176 | [0.9609, −0.3748] | 0.4652 | 1.3054 | | SH600383 | 8.0842 | [0.6532, −0.0422] | 0.3814 | 1.7824 |
|
|
