How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2469	3.53***
α ARCH Response to squared shocks	0.0645	0.48
β GARCH Volatility persistence	0.9355	6.90***

γ₁	-0.0149	-0.06
γ₂	0.0267	0.09

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Covivio Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Covivio Analyses