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	21
α ARCH Response to squared shocks	0.2061	0.85
β GARCH Volatility persistence	0.7255	486.25***
γ leverage Additional response to negative shocks	-0.2061	-0.41
λ₁ tau intercept Baseline long-term coefficient	0.2670	0.91
λ₂ forecast adj. Forecast performance sensitivity	0.9990	0.83
λ₃ tau persistence Long-term factor persistence	0.0010	0.32

V-Lab

Tsi Co., Ltd. ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tsi Co., Ltd. Analyses