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	0.1193	5.32***
β GARCH Volatility persistence	0.8940	447.02***
γ leverage Additional response to negative shocks	-0.0267	-0.69
λ₁ tau intercept Baseline long-term coefficient	0.0000	1.00
λ₂ forecast adj. Forecast performance sensitivity	0.5926	5.71***
λ₃ tau persistence Long-term factor persistence	0.0000	5.00***

V-Lab

Beyond Meat Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Beyond Meat Inc Analyses