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	126
α ARCH Response to squared shocks	0.1936	9.32***
β GARCH Volatility persistence	0.8129	229.83***
γ leverage Additional response to negative shocks	-0.0253	-0.73
λ₁ tau intercept Baseline long-term coefficient	5.7761	53.64***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9982	1,236.91***

V-Lab

Tonix Pharmaceuticals Holding Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tonix Pharmaceuticals Holding Corp Analyses