V-Lab
Atara Biotherapeutics Inc Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, July 27th, 2026
1 Day
82,614.57
decreased by 2,476.64
1 Week
79,589.81
decreased by 5,501.40
1 Month
68,915.73
decreased by 16,175.48
Analysis last updated: Friday, July 24, 2026 at 09:30 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 16, 2014 to Jul 24, 2026Model Insight
With persistence 0.991, illiquidity shocks have a half-life of 80 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0453 | 7.44*** |
α ARCH Response to squared shocks | 0.1127 | 12.31*** |
β GARCH Volatility persistence | 0.8786 | 91.40*** |
Spline Coefficients
K=1
| γ1 | 0.0489 | 6.55*** |
Persistence:
0.991
Half-life:
80 days
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