How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.1343	25.52***
β GARCH Volatility persistence	0.8314	224.53***
γ leverage Additional response to negative shocks	0.0411	8.03***
λ₁ tau intercept Baseline long-term coefficient	1,000,018.0000

V-Lab

Hedge Logistica Fundo de Investimento Imobiliario ILLIQ-MFMEM Liquidity Analysis

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News Impact Curve

Illiquidity Forecast

Parameter Estimates

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