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	106
α ARCH Response to squared shocks	0.0794	5.68***
β GARCH Volatility persistence	0.9072	211.33***
γ leverage Additional response to negative shocks	-0.0794	-1.62
λ₁ tau intercept Baseline long-term coefficient	1.7590	28.66***
λ₂ forecast adj. Forecast performance sensitivity	0.0118	3.17***
λ₃ tau persistence Long-term factor persistence	0.9864	159.49***

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Apartment Investment & Management Co ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Apartment Investment & Management Co Analyses