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	1.4388	3.89***
α ARCH Response to squared shocks	0.0789	9.75***
β GARCH Volatility persistence	0.9063	88.67***

γ₁	-0.4552	-4.58***
γ₂	0.7634	4.45***
γ₃	-0.4406	-3.14***
γ₄	0.1115	1.16
γ₅	0.0706	1.15
γ₆	-0.0225	-0.42
γ₇	-0.0976	-2.09**
γ₈	0.2157	5.13***
γ₉	-0.2537	-5.77***
γ₁₀	0.0826	1.25

V-Lab

Wereldhave NV Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Wereldhave NV Analyses