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