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	0.0685	1.22
β GARCH Volatility persistence	0.8674	22.79***
γ leverage Additional response to negative shocks	-0.0685	-0.45
λ₁ tau intercept Baseline long-term coefficient	0.0781	3.98***
λ₂ forecast adj. Forecast performance sensitivity	0.0818	1.59
λ₃ tau persistence Long-term factor persistence	0.9150	7.55***

V-Lab

Prologis Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Prologis Inc Analyses