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	0.8280	4.50***
α ARCH Response to squared shocks	0.2822	15.78***
β GARCH Volatility persistence	0.7172	40.22***

γ₁	-1.2063	-2.32**
γ₂	4.1985	3.57***
γ₃	-5.6128	-4.15***
γ₄	3.6293	3.43***
γ₅	-1.1682	-1.94*
γ₆	0.1656	0.65
γ₇	-0.1087	-0.79
γ₈	0.0790	0.44

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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