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	21
α ARCH Response to squared shocks	0.1147	0.63
β GARCH Volatility persistence	0.8553	86.07***
γ leverage Additional response to negative shocks	-0.1147	-0.33
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.75
λ₂ forecast adj. Forecast performance sensitivity	0.0447	0.65
λ₃ tau persistence Long-term factor persistence	0.9548	124.45***

V-Lab

Immobiliare Grande Distribuzione SIIQ SpA ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Immobiliare Grande Distribuzione SIIQ SpA Analyses