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	1.1563	1.15
α ARCH Response to squared shocks	0.1324	3.14***
β GARCH Volatility persistence	0.8650	33.44***
γ leverage Additional response to negative shocks	0.0052	0.06

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Daewon Sanup Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Daewon Sanup Co Ltd Analyses