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	0.1864	1.30
β GARCH Volatility persistence	0.8191	190.23***
γ leverage Additional response to negative shocks	-0.1864	-0.94
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.53
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9897	131.17***

V-Lab

Tectonic Therapeutic Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tectonic Therapeutic Inc Analyses