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	61
α ARCH Response to squared shocks	0.0712	1.10
β GARCH Volatility persistence	0.8562	36.30***
γ leverage Additional response to negative shocks	-0.0712	-0.46
λ₁ tau intercept Baseline long-term coefficient	0.2193	5.24***
λ₂ forecast adj. Forecast performance sensitivity	0.1069	2.64***
λ₃ tau persistence Long-term factor persistence	0.8878	6.13***

V-Lab

Simon Property Group Inc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Simon Property Group Inc Analyses