How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.1402	0.19
β GARCH Volatility persistence	0.7555	60.81***
γ leverage Additional response to negative shocks	-0.1402	-0.09
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.33
λ₂ forecast adj. Forecast performance sensitivity	0.0480	0.21
λ₃ tau persistence Long-term factor persistence	0.9520	39.09***

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Wereldhave Belgium NV ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Wereldhave Belgium NV Analyses