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	21
α ARCH Response to squared shocks	0.1111	0.64
β GARCH Volatility persistence	0.7178	11.01***
γ leverage Additional response to negative shocks	-0.1111	-0.29
λ₁ tau intercept Baseline long-term coefficient	4.7340	0.97
λ₂ forecast adj. Forecast performance sensitivity	0.0812	0.89
λ₃ tau persistence Long-term factor persistence	0.9158	20.41***

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Covivio ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Covivio Analyses