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	1.2157	2.80***
α ARCH Response to squared shocks	0.4986	5.72***
β GARCH Volatility persistence	0.4165	5.63***

γ₁	6.6449	0.91
γ₂	8.2192	0.68
γ₃	-21.1415	-1.93*
γ₄	-19.7630	-1.49

V-Lab

Zhengye Biotechnology Holding Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Zhengye Biotechnology Holding Ltd Analyses