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	71
α ARCH Response to squared shocks	0.0949	3.83***
β GARCH Volatility persistence	0.8587	193.92***
γ leverage Additional response to negative shocks	-0.0949	-1.63
λ₁ tau intercept Baseline long-term coefficient	8.1473	10.72***
λ₂ forecast adj. Forecast performance sensitivity	0.1496	35.79***
λ₃ tau persistence Long-term factor persistence	0.7988	13.65***

V-Lab

ZTO Express Cayman Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ZTO Express Cayman Inc Analyses