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	2.0885	1.87*
α ARCH Response to squared shocks	0.5940	4.82***
β GARCH Volatility persistence	0.3621	4.64***

V-Lab

Bati EGE Gayrimenkul Yatirim Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bati EGE Gayrimenkul Yatirim Analyses