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	1.0220	9.22***
α ARCH Response to squared shocks	0.0963	7.99***
β GARCH Volatility persistence	0.7853	134.44***
γ leverage Additional response to negative shocks	0.2368	4.16***

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Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd Analyses