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	0.1012	2.27**
β GARCH Volatility persistence	0.9437	316.05***
γ leverage Additional response to negative shocks	-0.1012	-1.27
λ₁ tau intercept Baseline long-term coefficient	0.0000	2.80***
λ₂ forecast adj. Forecast performance sensitivity	0.0003	2.90***
λ₃ tau persistence Long-term factor persistence	0.4409	25.19***

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Zhengye Biotechnology Holding Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Zhengye Biotechnology Holding Ltd Analyses