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	0.1942	9.35***
β GARCH Volatility persistence	0.8123	230.17***
γ leverage Additional response to negative shocks	-0.0251	-0.72
λ₁ tau intercept Baseline long-term coefficient	5.2720	54.84***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9982	1,240.01***

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