How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8871	2.02**
α ARCH Response to squared shocks	0.2565	0.16
β GARCH Volatility persistence	0.7435	0.47

V-Lab

36Kr Holdings Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other 36Kr Holdings Inc Analyses