The serial correlations of illiquid stock's price changes are studied, allowing for unconditional heteroscedasticity and time-varying zero returns probability. Depending on the set up, we investigate how the usual autocorrelations can be accommodated, to deliver an accurate representation of the price changes serial correlations. We shed some light on the properties of the different serial correlations measures, by mean of Monte Carlo experiments. The theoretical arguments are illustrated considering shares from the Chilean stock market.

翻译：正在研究液态股票价格变化的连锁关系,允许无条件的混凝土和时间变化零回报概率。根据设置,我们调查如何能适应通常的自动关系,以准确反映价格变化的连锁关系。我们用蒙特卡洛实验的平均值,对不同连锁关系措施的特性做了一些说明。理论论点在考虑智利股票市场份额时得到了说明。