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	96
α ARCH Response to squared shocks	0.1517	0.62
β GARCH Volatility persistence	0.8632	133.58***
γ leverage Additional response to negative shocks	-0.1217	-0.29
λ₁ tau intercept Baseline long-term coefficient	0.8330	0.84
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9833	76.47***

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Viomi Technology Co Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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