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	0.3147	3.05***
α ARCH Response to squared shocks	0.2453	15.72***
β GARCH Volatility persistence	0.7443	58.60***

γ₁	-0.8241	-12.92***
γ₂	1.2147	8.62***
γ₃	-0.3767	-2.65***
γ₄	-0.1145	-1.28
γ₅	0.1875	2.13**

V-Lab

Rizhao Port Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Rizhao Port Co Ltd Analyses