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	51
α ARCH Response to squared shocks	0.1488	9.99***
β GARCH Volatility persistence	0.6692	158.92***
γ leverage Additional response to negative shocks	0.3639	13.34***
λ₁ tau intercept Baseline long-term coefficient	0.0338	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.9988	10.16***
λ₃ tau persistence Long-term factor persistence	0.0012	2.11**

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Intea Fastigheter AB Publ ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Intea Fastigheter AB Publ Analyses