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	0.9151	0.67
α ARCH Response to squared shocks	0.2431	17.55***
β GARCH Volatility persistence	0.7566	54.71***

γ₁	-1.5301	-1.24
γ₂	5.6117	1.85*
γ₃	-8.2916	-1.77*
γ₄	6.5133	1.24
γ₅	-3.1869	-0.93
γ₆	1.1670	1.23
γ₇	-0.3863	-0.81
γ₈	0.2094	0.84
γ₉	-0.2150	-0.94
γ₁₀	0.1532	0.40

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Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd Analyses