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	0.9390	4.16***
α ARCH Response to squared shocks	0.2548	26.57***
β GARCH Volatility persistence	0.7440	73.49***

γ₁	-0.7405	-3.24***
γ₂	2.4498	4.85***
γ₃	-2.9386	-4.77***
γ₄	1.4089	2.82***
γ₅	-0.0496	-0.17
γ₆	-0.2005	-1.55
γ₇	0.0393	0.27

V-Lab

Guangdong Shaoneng Group Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Guangdong Shaoneng Group Analyses