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	1.2281	7.03***
α ARCH Response to squared shocks	0.1219	12.70***
β GARCH Volatility persistence	0.8409	64.08***

γ₁	-0.1410	-6.34***
γ₂	0.2071	5.83***
γ₃	-0.0940	-3.27***
γ₄	0.0127	0.46
γ₅	0.0820	3.01***
γ₆	-0.1820	-4.44***

V-Lab

Wereldhave Belgium NV Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Wereldhave Belgium NV Analyses