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	1.2608	2.75***
α ARCH Response to squared shocks	0.2197	1.28
β GARCH Volatility persistence	0.0000	0.00

γ₁	-54.3137	-2.40**
γ₂	99.1352	3.12***
γ₃	-92.1787	-3.96***
γ₄	112.5157	4.12***
γ₅	-121.9290	-3.53***

V-Lab

Itau Tempus Fundo De Investimento Imobiliario Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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