How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.5000	0.23
β GARCH Volatility persistence	0.7150	2.19**
γ leverage Additional response to negative shocks	-0.5000	-0.13
λ₁ tau intercept Baseline long-term coefficient	19,128,590,000,000.0000

V-Lab

Genesis Healthcare Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Genesis Healthcare Inc Analyses