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	71
α ARCH Response to squared shocks	0.1373	0.14
β GARCH Volatility persistence	0.7221	26.50***
γ leverage Additional response to negative shocks	-0.1373	-0.07
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.15
λ₂ forecast adj. Forecast performance sensitivity	0.1289	0.26
λ₃ tau persistence Long-term factor persistence	0.8711	2.09**

V-Lab

IGB Reit ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other IGB Reit Analyses