V-Lab
Genesis Healthcare Inc Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Thursday, July 30th, 2026
1 Day
116,877,500,000,000.00
decreased by 59,425,100,000,000.00
1 Week
410,360,080,000,000.00
increased by 234,057,480,000,000.00
1 Month
1,083,337,833,333,333.50
increased by 907,035,233,333,333.50
Analysis last updated: Thursday, July 30, 2026 at 09:10 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
May 15, 2007 to Jul 24, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 115524 trading days (~458.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0402 | 0.02 |
α ARCH Response to squared shocks | 0.3452 | 0.00 |
β GARCH Volatility persistence | 0.6548 | 0.00 |
Spline Coefficients
K=7
| γ1 | -12.5900 | 0.00 |
| γ2 | 18.8762 | 0.00 |
| γ3 | -0.6750 | 0.00 |
| γ4 | -0.2412 | 0.00 |
| γ5 | -10.2521 | 0.00 |
| γ6 | 23.8558 | 0.00 |
| γ7 | -42.8700 | 0.00 |
Persistence:
1.000
Half-life:
115524 days
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