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	5.0000	2.09**
α ARCH Response to squared shocks	0.0495	12.25***
β GARCH Volatility persistence	0.9260	407.41***
γ leverage Additional response to negative shocks	0.0490	8.06***

V-Lab

Industrial Logistics Properties Trust Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Industrial Logistics Properties Trust Analyses