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	36
α ARCH Response to squared shocks	0.1174	0.68
β GARCH Volatility persistence	0.7732	25.11***
γ leverage Additional response to negative shocks	-0.1174	-0.32
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.34
λ₂ forecast adj. Forecast performance sensitivity	0.0673	1.37
λ₃ tau persistence Long-term factor persistence	0.9322	18.13***

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ESR-REIT ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ESR-REIT Analyses