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	31
α ARCH Response to squared shocks	0.0700	1.60
β GARCH Volatility persistence	0.8520	23.98***
γ leverage Additional response to negative shocks	-0.0700	-0.59
λ₁ tau intercept Baseline long-term coefficient	0.1798	2.69***
λ₂ forecast adj. Forecast performance sensitivity	0.0359	7.14***
λ₃ tau persistence Long-term factor persistence	0.9619	43.68***

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Equity Residential ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

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