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	0.6774	3.90***
α ARCH Response to squared shocks	0.2372	22.79***
β GARCH Volatility persistence	0.7619	73.14***

γ₁	0.1170	0.87
γ₂	-0.0379	-0.18
γ₃	-0.5256	-4.79***
γ₄	0.9857	15.80***
γ₅	-0.8758	-12.60***

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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