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	0.3140	3.04***
α ARCH Response to squared shocks	0.2450	15.72***
β GARCH Volatility persistence	0.7445	58.72***

γ₁	-0.8182	-13.10***
γ₂	1.2069	8.81***
γ₃	-0.3757	-2.71***
γ₄	-0.1144	-1.30
γ₅	0.1978	2.24**

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