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	1.2895	3.73***
α ARCH Response to squared shocks	0.0756	3.99***
β GARCH Volatility persistence	0.8701	28.73***

γ₁	-0.2985	-2.21**
γ₂	0.7485	3.98***
γ₃	-0.8027	-4.20***

V-Lab

Caixa Rio Bravo Fundo de Fundos de Investimento Imobiliario Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Caixa Rio Bravo Fundo de Fundos de Investimento Imobiliario Analyses