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	0.9014	5.93***
α ARCH Response to squared shocks	0.2771	18.61***
β GARCH Volatility persistence	0.7226	48.44***

γ₁	-1.2264	-3.19***
γ₂	4.0211	4.99***
γ₃	-4.5421	-6.42***
γ₄	1.3133	4.46***
γ₅	1.4007	3.91***
γ₆	-1.2961	-3.99***
γ₇	0.2581	1.02

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Hunan Energy Group Development Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hunan Energy Group Development Co Ltd Analyses