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	0.8246	3.47***
α ARCH Response to squared shocks	0.3248	2.22**
β GARCH Volatility persistence	0.3774	2.18**

γ₁	-23.4974	-1.38
γ₂	32.6163	1.10
γ₃	-25.4676	-1.18
γ₄	38.8949	2.28**
γ₅	-47.9208	-2.72***
γ₆	43.3450	2.74***
γ₇	-24.2153	-2.07**
γ₈	14.7846	1.35
γ₉	-19.1642	-1.47

V-Lab

Hedge Recebiveis FII Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hedge Recebiveis FII Analyses