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	2.4899	6.47***
α ARCH Response to squared shocks	0.1853	9.48***
β GARCH Volatility persistence	0.7673	145.30***
γ leverage Additional response to negative shocks	0.0948	3.51***

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Weichai Heavy Machinery Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Weichai Heavy Machinery Co Ltd Analyses