How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.1141	3.21***
β GARCH Volatility persistence	0.8111	146.59***
γ leverage Additional response to negative shocks	-0.1141	-1.54
λ₁ tau intercept Baseline long-term coefficient	0.7074	5.42***
λ₂ forecast adj. Forecast performance sensitivity	0.3041	9.57***
λ₃ tau persistence Long-term factor persistence	0.6588	8.99***

V-Lab

Ninebot Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ninebot Ltd Analyses