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	5.0000	4.89***
α ARCH Response to squared shocks	0.3292	5.74***
β GARCH Volatility persistence	0.7370	29.90***
γ leverage Additional response to negative shocks	-0.2119	-3.36***

V-Lab

Savur Gayrimenkul Yatirim Ortakligi AS Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Savur Gayrimenkul Yatirim Ortakligi AS Analyses