How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	2.56**
α ARCH Response to squared shocks	0.0736	16.02***
β GARCH Volatility persistence	0.9045	371.48***
γ leverage Additional response to negative shocks	0.0434	5.09***

V-Lab

Yext, Inc. Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Yext, Inc. Analyses