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	0.2358	2.36**
α ARCH Response to squared shocks	0.3058	12.93***
β GARCH Volatility persistence	0.6860	32.18***

γ₁	-1.1371	-4.71***
γ₂	2.7372	6.72***
γ₃	-3.2659	-8.15***
γ₄	2.4774	3.71***
γ₅	-1.1298	-1.93*
γ₆	0.5247	2.15**
γ₇	-0.0971	-0.46
γ₈	-0.2953	-1.06
γ₉	0.1675	0.56

V-Lab

Liaoning SG Automotive Group Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Liaoning SG Automotive Group Co Ltd Analyses