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	1.3910	5.75***
α ARCH Response to squared shocks	0.0453	11.10***
β GARCH Volatility persistence	0.9510	207.05***

γ₁	-0.0237	-2.10**
γ₂	0.0353	2.02**
γ₃	-0.0046	-0.36
γ₄	-0.0123	-0.76

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Equity Residential Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Equity Residential Analyses