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	66
α ARCH Response to squared shocks	0.1405	4.04***
β GARCH Volatility persistence	0.8464	288.68***
γ leverage Additional response to negative shocks	-0.1405	-2.04**
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.23**
λ₂ forecast adj. Forecast performance sensitivity	0.9999	4.38***
λ₃ tau persistence Long-term factor persistence	0.0001	0.81

V-Lab

Vanda Pharmaceuticals Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Vanda Pharmaceuticals Inc Analyses