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	5.0000	23.18***
α ARCH Response to squared shocks	0.2263	8.95***
β GARCH Volatility persistence	0.7602	99.95***
γ leverage Additional response to negative shocks	0.0270	1.12

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Guangzhou Development Group Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Guangzhou Development Group Inc Analyses