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	31
α ARCH Response to squared shocks	0.1837	1.08
β GARCH Volatility persistence	0.7321	52.14***
γ leverage Additional response to negative shocks	0.1677	0.53
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.04
λ₂ forecast adj. Forecast performance sensitivity	0.2231	3.66***
λ₃ tau persistence Long-term factor persistence	0.7769	4.46***

V-Lab

Sinpas Gayrimenkul Yatirim Ortakligi AS ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sinpas Gayrimenkul Yatirim Ortakligi AS Analyses