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	36
α ARCH Response to squared shocks	0.0733	6.48***
β GARCH Volatility persistence	0.8319	43.06***
γ leverage Additional response to negative shocks	-0.0422	-1.74*
λ₁ tau intercept Baseline long-term coefficient	0.3781	2.21**
λ₂ forecast adj. Forecast performance sensitivity	0.4240	5.38***
λ₃ tau persistence Long-term factor persistence	0.5686	7.21***

V-Lab

CVS Health Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CVS Health Corp Analyses