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	0.1842	11.90***
β GARCH Volatility persistence	0.8300	280.71***
γ leverage Additional response to negative shocks	-0.0381	-1.61
λ₁ tau intercept Baseline long-term coefficient	0.0002	74.67***
λ₂ forecast adj. Forecast performance sensitivity	0.0034	3.88***
λ₃ tau persistence Long-term factor persistence	0.9873	538.03***

V-Lab

Turtle Beach Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Turtle Beach Corp Analyses