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	1.0611	7.97***
α ARCH Response to squared shocks	0.0681	7.72***
β GARCH Volatility persistence	0.9308	111.81***

γ₁	-0.0094	-1.90*
γ₂	0.0190	2.16**

V-Lab

CVS Health Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CVS Health Corp Analyses