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	5.86***
α ARCH Response to squared shocks	0.2273	2.24**
β GARCH Volatility persistence	0.7594	24.83***
γ leverage Additional response to negative shocks	0.0265	0.27

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Guangzhou Development Group Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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