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	106
α ARCH Response to squared shocks	0.0789	0.15
β GARCH Volatility persistence	0.9010	33.16***
γ leverage Additional response to negative shocks	-0.0789	-0.08
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.14
λ₂ forecast adj. Forecast performance sensitivity	0.1807	0.14
λ₃ tau persistence Long-term factor persistence	0.8193	12.85***

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Ginkgo Bioworks Holdings Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ginkgo Bioworks Holdings Inc Analyses