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	41
α ARCH Response to squared shocks	0.0822	0.50
β GARCH Volatility persistence	0.8911	102.50***
γ leverage Additional response to negative shocks	-0.0822	-0.24
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.55
λ₂ forecast adj. Forecast performance sensitivity	0.2577	1.47
λ₃ tau persistence Long-term factor persistence	0.7423	2.05**

V-Lab

Industrial Logistics Properties Trust ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Industrial Logistics Properties Trust Analyses