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	41
α ARCH Response to squared shocks	0.1557	11.47***
β GARCH Volatility persistence	0.8285	207.38***
γ leverage Additional response to negative shocks	-0.1557	-5.59***
λ₁ tau intercept Baseline long-term coefficient	10.0000	67.68***
λ₂ forecast adj. Forecast performance sensitivity	0.0026	7.32***
λ₃ tau persistence Long-term factor persistence	0.9889	1,020.52***

V-Lab

Life360, Inc. ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Life360, Inc. Analyses