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	3.0743	3.27***
α ARCH Response to squared shocks	0.0831	6.39***
β GARCH Volatility persistence	0.8853	49.27***

γ₁	-0.2360	-2.12**
γ₂	0.4563	2.67***
γ₃	-0.3949	-3.89***
γ₄	0.2563	3.30***
γ₅	-0.0575	-0.95
γ₆	-0.0251	-0.56
γ₇	-0.0351	-0.91
γ₈	0.1367	3.76***
γ₉	-0.1801	-5.00***
γ₁₀	0.0275	0.50

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Eurocommercial Properties NV Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Eurocommercial Properties NV Analyses