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	0.9887	4.91***
α ARCH Response to squared shocks	0.0922	6.55***
β GARCH Volatility persistence	0.8687	43.47***

γ₁	-0.2332	-4.93***
γ₂	0.3774	5.62***
γ₃	-0.2580	-6.19***
γ₄	0.2036	5.48***
γ₅	-0.1748	-3.64***

V-Lab

ESR-REIT Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ESR-REIT Analyses