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	0.2308	7.59***
α ARCH Response to squared shocks	0.0363	23.66***
β GARCH Volatility persistence	0.9551	1,020.37***
γ leverage Additional response to negative shocks	0.0157	6.26***

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Equity Residential Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

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