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, September 24th, 2026
1 Day
6,001,042,000,000,000.00
1 Week
2,215,608,966,666,667.00
1 Month
2,284,546,688,888,889.00
Analysis last updated: Thursday, September 24, 2026 at 09:13 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
May 15, 2007 to Sep 21, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 138629 trading days (~550.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
ILLIQ-SMEM Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0386 | 0.02 |
| αARCH | 0.3135 | 0.00 |
| βGARCH | 0.6865 | 0.00 |
| γ1 | -10.4514 | 0.00 |
| γ2 | 15.4558 | 0.00 |
| γ3 | -0.4469 | 0.00 |
| γ4 | -1.8086 | -0.01 |
| γ5 | -2.6641 | 0.00 |
| γ6 | 14.4446 | 0.00 |
| γ7 | -35.4589 | 0.00 |
1.000
Persistence138629d
Half-lifeILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0386 | 0.02 |
α ARCH Response to squared shocks | 0.3135 | 0.00 |
β GARCH Volatility persistence | 0.6865 | 0.00 |
| γ1 | -10.4514 | 0.00 |
| γ2 | 15.4558 | 0.00 |
| γ3 | -0.4469 | 0.00 |
| γ4 | -1.8086 | -0.01 |
| γ5 | -2.6641 | 0.00 |
| γ6 | 14.4446 | 0.00 |
| γ7 | -35.4589 | 0.00 |
Persistence:
1.000
Half-life:
138629 days
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