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	0.6604	9.27***
α ARCH Response to squared shocks	0.0519	26.55***
β GARCH Volatility persistence	0.9318	819.51***
γ leverage Additional response to negative shocks	0.0309	8.94***

V-Lab

BXP Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other BXP Inc Analyses