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	0.2037	0.84
β GARCH Volatility persistence	0.7241	452.55***
γ leverage Additional response to negative shocks	-0.2037	-0.41
λ₁ tau intercept Baseline long-term coefficient	0.2725	0.90
λ₂ forecast adj. Forecast performance sensitivity	0.9992	0.83
λ₃ tau persistence Long-term factor persistence	0.0008	0.34

V-Lab

Tsi Co., Ltd. ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tsi Co., Ltd. Analyses