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	21
α ARCH Response to squared shocks	0.1021	1.32
β GARCH Volatility persistence	0.8385	20.38***
γ leverage Additional response to negative shocks	-0.1021	-0.48
λ₁ tau intercept Baseline long-term coefficient	5.4810	3.28***
λ₂ forecast adj. Forecast performance sensitivity	0.0818	2.42**
λ₃ tau persistence Long-term factor persistence	0.9107	9.58***

V-Lab

Zai Lab Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Zai Lab Ltd Analyses