How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0899	1.76*
α ARCH Response to squared shocks	0.0419	6.09***
β GARCH Volatility persistence	0.9371	127.15***
γ leverage Additional response to negative shocks	0.0410	3.52***

V-Lab

CVS Health Corp Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CVS Health Corp Analyses