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	3.7541	5.18***
α ARCH Response to squared shocks	0.1672	10.40***
β GARCH Volatility persistence	0.7758	36.43***

γ₁	-0.2136	-2.23**
γ₂	0.3967	2.58***
γ₃	-0.1581	-1.62
γ₄	-0.0372	-0.56
γ₅	0.0457	0.91
γ₆	-0.0784	-1.36
γ₇	0.1483	1.54

V-Lab

Covivio Hotels SACA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Covivio Hotels SACA Analyses