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	0.7321	7.17***
α ARCH Response to squared shocks	0.1226	6.27***
β GARCH Volatility persistence	0.7744	21.34***

γ₁	-0.2891	-3.78***
γ₂	0.2527	2.02**
γ₃	0.1978	1.89*
γ₄	-0.3904	-4.60***
γ₅	0.4431	5.27***

V-Lab

IGB Reit Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other IGB Reit Analyses