How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.5825	12.61***
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	-0.5000	-5.97***
λ₁ tau intercept Baseline long-term coefficient	306,235.2000

V-Lab

Itau Tempus Fundo De Investimento Imobiliario ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Itau Tempus Fundo De Investimento Imobiliario Analyses