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	4.6375	5.33***
α ARCH Response to squared shocks	0.0372	18.05***
β GARCH Volatility persistence	0.9456	652.10***
γ leverage Additional response to negative shocks	0.0345	8.46***

V-Lab

Wereldhave NV Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Wereldhave NV Analyses