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	0.3833	0.01
α ARCH Response to squared shocks	0.2651	0.00
β GARCH Volatility persistence	0.7349	0.01

γ₁	0.0938	0.00
γ₂	-0.2492	0.00
γ₃	0.2507	0.01
γ₄	-0.1690	-0.01

V-Lab

Guangdong Shaoneng Group Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Guangdong Shaoneng Group Analyses