V-Lab
Life360, Inc. Asymmetric ILLIQ Liquidity Analysis
Suspended
Last recorded values (Tuesday, September 26th, 2023):
1 Day
6,275.72
1 Week
6,409.27
1 Month
4,583.29
Analysis last updated: Wednesday, September 27, 2023 at 02:54 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
May 10, 2019 to Sep 22, 2023Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): illiquidity shocks do not decay and the long-run level is undefined, so long-horizon forecasts should be treated with caution.
Asymmetry: Illiquidity rises 202% more after negative returns
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 0.19 |
α ARCH Response to squared shocks | 0.0711 | 7.40*** |
β GARCH Volatility persistence | 0.8570 | 115.58*** |
γ leverage Additional response to negative shocks | 0.1438 | 4.23*** |
Persistence:
1.000
Half-life:
-
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