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	26
α ARCH Response to squared shocks	0.2066	1.15
β GARCH Volatility persistence	0.7507	160.41***
γ leverage Additional response to negative shocks	0.0844	0.24
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.66*
λ₂ forecast adj. Forecast performance sensitivity	0.8738	2.03**
λ₃ tau persistence Long-term factor persistence	0.1262	0.29

V-Lab

Telcon Rf Pharmaceutical Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Telcon Rf Pharmaceutical Inc Analyses