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	1.1626	4.08***
α ARCH Response to squared shocks	0.0740	5.84***
β GARCH Volatility persistence	0.9260	73.36***

γ₁	-0.0198	-0.86
γ₂	0.0290	1.11

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Macerich Co/The Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Macerich Co/The Analyses