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	1.1273	2.14**
α ARCH Response to squared shocks	0.2740	11.53***
β GARCH Volatility persistence	0.7223	30.67***

γ₁	-0.8000	-4.87***
γ₂	1.4613	5.66***

V-Lab

Sumou Real Estate Company Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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