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	1.0199	0.00
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	1.0000	0.00

γ₁	-18.1083	0.00
γ₂	44.6356	1.81*
γ₃	-35.9431	-1.60
γ₄	9.3297	0.44
γ₅	4.5331	0.21
γ₆	-10.0632	-0.48
γ₇	6.7695	0.30
γ₈	0.4069	0.02
γ₉	0.0000	0.00

V-Lab

Hedge Logistica Fundo de Investimento Imobiliario Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hedge Logistica Fundo de Investimento Imobiliario Analyses