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	0.7626	1.59
α ARCH Response to squared shocks	0.1719	0.06
β GARCH Volatility persistence	0.8281	0.30

γ₁	-0.0931	-0.15
γ₂	0.0559	0.07

V-Lab

Sinpas Gayrimenkul Yatirim Ortakligi AS Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sinpas Gayrimenkul Yatirim Ortakligi AS Analyses