How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.2841	46.02***
β GARCH Volatility persistence	0.7706	210.88***
γ leverage Additional response to negative shocks	-0.1095	-13.83***
λ₁ tau intercept Baseline long-term coefficient	1,988,890.1191

V-Lab

36Kr Holdings Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other 36Kr Holdings Inc Analyses