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	0.0691	1.78*
β GARCH Volatility persistence	0.8712	42.47***
γ leverage Additional response to negative shocks	-0.0691	-0.65
λ₁ tau intercept Baseline long-term coefficient	0.3585	3.34***
λ₂ forecast adj. Forecast performance sensitivity	0.0723	1.78*
λ₃ tau persistence Long-term factor persistence	0.9218	10.50***

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AvalonBay Communities Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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