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	76
α ARCH Response to squared shocks	0.0813	1.08
β GARCH Volatility persistence	0.8706	99.95***
γ leverage Additional response to negative shocks	-0.0813	-0.48
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.84*
λ₂ forecast adj. Forecast performance sensitivity	0.1449	3.32***
λ₃ tau persistence Long-term factor persistence	0.8532	4.66***

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Saul Centers Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Saul Centers Inc Analyses