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	0.6420	4.39***
α ARCH Response to squared shocks	0.2475	23.12***
β GARCH Volatility persistence	0.7517	70.20***

γ₁	-1.0407	-2.05**
γ₂	3.3318	2.46**
γ₃	-3.5224	-2.37**
γ₄	0.9146	1.17
γ₅	0.6267	2.65***
γ₆	-0.2757	-2.19**
γ₇	-0.1631	-1.65*
γ₈	0.2677	1.95*

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Guangzhou Development Group Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Guangzhou Development Group Inc Analyses