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	46
α ARCH Response to squared shocks	0.1549	1.55
β GARCH Volatility persistence	0.7826	56.60***
γ leverage Additional response to negative shocks	-0.1549	-0.70
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.11
λ₂ forecast adj. Forecast performance sensitivity	0.0587	2.06**
λ₃ tau persistence Long-term factor persistence	0.9413	54.99***

V-Lab

Covivio Hotels SACA ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Covivio Hotels SACA Analyses