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	0.0875	1.14
β GARCH Volatility persistence	0.8592	92.41***
γ leverage Additional response to negative shocks	-0.0875	-0.49
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.15**
λ₂ forecast adj. Forecast performance sensitivity	0.2754	11.46***
λ₃ tau persistence Long-term factor persistence	0.7246	3.17***

V-Lab

Atara Biotherapeutics Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Atara Biotherapeutics Inc Analyses