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	2.33**
α ARCH Response to squared shocks	0.3265	10.52***
β GARCH Volatility persistence	0.5938	29.00***
γ leverage Additional response to negative shocks	0.1593	2.99***

V-Lab

Bati EGE Gayrimenkul Yatirim Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bati EGE Gayrimenkul Yatirim Analyses