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	2.1861	4.05***
α ARCH Response to squared shocks	0.1034	10.18***
β GARCH Volatility persistence	0.8694	63.82***

γ₁	-0.1008	-2.93***
γ₂	0.0891	1.89*
γ₃	0.0957	3.74***
γ₄	-0.1050	-5.06***
γ₅	-0.0091	-0.49
γ₆	0.0878	4.83***
γ₇	-0.1261	-4.87***

V-Lab

Gecina SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Gecina SA Analyses