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	1.0980	1.39
α ARCH Response to squared shocks	0.2596	5.90***
β GARCH Volatility persistence	0.7382	17.07***

γ₁	0.4397	2.58***
γ₂	-1.1831	-3.70***
γ₃	1.3125	4.49***
γ₄	-0.6265	-1.50
γ₅	0.0715	0.09
γ₆	-0.5193	-0.65
γ₇	1.0889	2.45**
γ₈	-0.8252	-4.86***
γ₉	0.3796	3.28***
γ₁₀	-0.3930	-1.78*

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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