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	5.0000	2.79***
α ARCH Response to squared shocks	0.0362	17.91***
β GARCH Volatility persistence	0.9346	615.67***
γ leverage Additional response to negative shocks	0.0584	10.87***

V-Lab

First Capital Real Estate Investment Trust Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

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