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	21
α ARCH Response to squared shocks	0.1039	1.85*
β GARCH Volatility persistence	0.8390	41.41***
γ leverage Additional response to negative shocks	-0.1039	-0.79
λ₁ tau intercept Baseline long-term coefficient	0.5833	6.78***
λ₂ forecast adj. Forecast performance sensitivity	0.0321	3.42***
λ₃ tau persistence Long-term factor persistence	0.9671	102.20***

V-Lab

Gecina SA ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Gecina SA Analyses