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	1.9189	3.88***
α ARCH Response to squared shocks	0.1381	1.17
β GARCH Volatility persistence	0.0000	0.00

γ₁	65.3601	0.39
γ₂	-136.2491	-0.55
γ₃	341.2249	2.30**
γ₄	-683.0399	-2.70***

V-Lab

Savur Gayrimenkul Yatirim Ortakligi AS Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Savur Gayrimenkul Yatirim Ortakligi AS Analyses