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	0.5146	3.46***
α ARCH Response to squared shocks	0.1075	9.35***
β GARCH Volatility persistence	0.8558	49.98***

γ₁	-0.7473	-6.40***
γ₂	1.0571	6.48***
γ₃	-0.4073	-4.76***
γ₄	0.2501	4.03***
γ₅	-0.3954	-4.71***

V-Lab

Summit Real Estate Holdings Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Summit Real Estate Holdings Analyses