Research Article
Ultrahigh Frequency Data Liquidity Duration Estimation: A Case Study of Chinese A Shares
Table 9
Whole transaction volume duration WACD (2, 2) estimate.
| | ω | α | β | γ |
| SH600048 | −0.1088 | [0.6177, 0.3176] | [−0.1996, 0.3610] | 1.6506 | SH600247 | 8.5713 | [0.9820, 0.1456] | [−0.1770, 0.1488] | 1.3008 | SH600383 | 0.098 | [0.6654, −0.6576] | [1.3395, −0.3472] | 1.7699 |
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