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	0.7716	11.07***
α ARCH Response to squared shocks	0.2616	17.70***
β GARCH Volatility persistence	0.7381	50.09***

γ₁	0.0856	7.21***
γ₂	-0.3279	-9.13***
γ₃	0.6391	6.26***

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