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	0.2040	13.46***
β GARCH Volatility persistence	0.7535	47.00***
γ leverage Additional response to negative shocks	0.0842	5.25***
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.92***
λ₂ forecast adj. Forecast performance sensitivity	0.8768	5.02***
λ₃ tau persistence Long-term factor persistence	0.1232	0.73

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