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	5.0000	11.17***
α ARCH Response to squared shocks	0.1939	8.05***
β GARCH Volatility persistence	0.6912	38.36***
γ leverage Additional response to negative shocks	0.2297	18.43***

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SPIC Green Energy Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

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