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	0.7726	11.08***
α ARCH Response to squared shocks	0.2619	17.59***
β GARCH Volatility persistence	0.7378	49.69***

γ₁	0.0846	7.11***
γ₂	-0.3273	-9.14***
γ₃	0.6425	6.30***

V-Lab

Jiangxi Ganneng Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Jiangxi Ganneng Co Ltd Analyses