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