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	0.8021	4.59***
α ARCH Response to squared shocks	0.2929	16.74***
β GARCH Volatility persistence	0.7068	40.50***

γ₁	-0.6057	-3.19***
γ₂	1.8393	3.91***
γ₃	-3.4621	-4.05***
γ₄	4.5904	3.46***
γ₅	-3.3835	-3.02***
γ₆	1.0707	2.57**
γ₇	-0.1818	-1.23

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Weichai Heavy Machinery Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Weichai Heavy Machinery Co Ltd Analyses