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	1.0988	1.38
α ARCH Response to squared shocks	0.2603	5.89***
β GARCH Volatility persistence	0.7374	16.96***

γ₁	0.4456	2.58***
γ₂	-1.1921	-3.69***
γ₃	1.3129	4.48***
γ₄	-0.6179	-1.50
γ₅	0.0651	0.09
γ₆	-0.5224	-0.67
γ₇	1.0902	2.57**
γ₈	-0.8155	-5.01***
γ₉	0.3686	3.19***
γ₁₀	-0.3794	-1.74*

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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