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	126
α ARCH Response to squared shocks	0.0608	1.99**
β GARCH Volatility persistence	0.9521	422.58***
γ leverage Additional response to negative shocks	-0.0608	-5.20***
λ₁ tau intercept Baseline long-term coefficient	1.1332	3.66***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9917	247.49***

V-Lab

Caixa Rio Bravo Fundo de Fundos de Investimento Imobiliario ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Caixa Rio Bravo Fundo de Fundos de Investimento Imobiliario Analyses