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	126
α ARCH Response to squared shocks	0.1025	2.47**
β GARCH Volatility persistence	0.8984	254.07***
γ leverage Additional response to negative shocks	-0.1025	-17.39***
λ₁ tau intercept Baseline long-term coefficient	7.7151	3.58***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.11
λ₃ tau persistence Long-term factor persistence	0.9392	122.99***

V-Lab

Myriad Genetics Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Myriad Genetics Inc Analyses