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	3.4288	2.95***
α ARCH Response to squared shocks	0.1835	6.26***
β GARCH Volatility persistence	0.6993	15.78***

γ₁	-5.1688	-3.17***
γ₂	10.5246	4.54***
γ₃	-7.2490	-5.35***
γ₄	2.3973	2.51**
γ₅	0.5097	0.51
γ₆	-2.0045	-1.66*
γ₇	4.8681	2.61***

V-Lab

FII Vida Nova Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other FII Vida Nova Analyses