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	0.8212	5.07***
α ARCH Response to squared shocks	0.2878	7.74***
β GARCH Volatility persistence	0.6233	25.86***

γ₁	-0.0859	-4.95***
γ₂	0.1382	5.38***

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Jiangsu Pacific Quartz Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Jiangsu Pacific Quartz Co Ltd Analyses