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	0.0823	5.44***
α ARCH Response to squared shocks	0.0396	2.27**
β GARCH Volatility persistence	0.9422	84.50***
γ leverage Additional response to negative shocks	0.0364	0.84

V-Lab

Vung Tau Real Estate Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

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