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	126
α ARCH Response to squared shocks	0.0949	6.09***
β GARCH Volatility persistence	0.9166	454.91***
γ leverage Additional response to negative shocks	-0.0795	-4.71***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.03
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.04
λ₃ tau persistence Long-term factor persistence	0.9983	3,683.62***

V-Lab

First Capital Real Estate Investment Trust ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other First Capital Real Estate Investment Trust Analyses