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	0.7889	2.03**
α ARCH Response to squared shocks	0.1857	7.01***
β GARCH Volatility persistence	0.7734	36.73***

γ₁	0.1124	0.40
γ₂	0.0866	0.20
γ₃	-0.2314	-0.50
γ₄	-0.4959	-0.98
γ₅	1.4841	4.06***
γ₆	-1.8575	-7.49***
γ₇	1.0882	4.46***
γ₈	-0.5088	-1.92*
γ₉	1.6595	4.71***

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Alliances Developpement Immobilier SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Alliances Developpement Immobilier SA Analyses