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	1.9873	5.59***
α ARCH Response to squared shocks	0.0881	7.49***
β GARCH Volatility persistence	0.9099	70.96***

γ₁	-0.0499	-1.58
γ₂	-0.0093	-0.11
γ₃	0.2648	1.05
γ₄	-0.5435	-1.10

V-Lab

First Capital Real Estate Investment Trust Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other First Capital Real Estate Investment Trust Analyses