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	0.7086	2.62***
α ARCH Response to squared shocks	0.1675	2.63***
β GARCH Volatility persistence	0.8323	13.07***

γ₁	0.7644	0.38
γ₂	-3.9284	-1.27
γ₃	6.5541	4.03***
γ₄	-8.4712	-11.44***
γ₅	9.5216	12.22***
γ₆	-5.3255	-5.26***
γ₇	0.4705	0.34
γ₈	0.9971	0.59
γ₉	-0.6121	-0.42
γ₁₀	0.4992	0.40

V-Lab

Vung Tau Real Estate Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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