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	2.2611	2.36**
α ARCH Response to squared shocks	0.2058	6.25***
β GARCH Volatility persistence	0.7889	24.60***

γ₁	0.2232	0.16
γ₂	-5.1296	-1.68*
γ₃	11.3265	2.91***
γ₄	-10.6828	-2.40**
γ₅	12.9768	2.23**
γ₆	-15.7578	-2.62***
γ₇	7.9222	2.66***
γ₈	0.0421	0.03
γ₉	-2.8690	-1.83*
γ₁₀	-3.0846	-1.11

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BeijingWest Industries International Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other BeijingWest Industries International Ltd Analyses