How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8699	4.74***
α ARCH Response to squared shocks	0.0564	11.32***
β GARCH Volatility persistence	0.9436	189.67***

γ₁	0.0030	0.12
γ₂	-0.0001	0.00

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AvalonBay Communities Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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