How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.2032	2.36**
β GARCH Volatility persistence	0.7182	232.74***
γ leverage Additional response to negative shocks	0.1568	0.93
λ₁ tau intercept Baseline long-term coefficient	0.0077	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.9999	2.38**
λ₃ tau persistence Long-term factor persistence	0.0001	0.02

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Jiayin Group Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Jiayin Group Inc Analyses