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	1.1006	1.39
α ARCH Response to squared shocks	0.2599	5.90***
β GARCH Volatility persistence	0.7378	17.01***

γ₁	0.4428	2.58***
γ₂	-1.1878	-3.69***
γ₃	1.3128	4.48***
γ₄	-0.6224	-1.50
γ₅	0.0685	0.09
γ₆	-0.5210	-0.66
γ₇	1.0894	2.51**
γ₈	-0.8199	-4.93***
γ₉	0.3725	3.21***
γ₁₀	-0.3803	-1.71*

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Shanghai Yaohua Pilkington Glass Group Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shanghai Yaohua Pilkington Glass Group Co Ltd Analyses