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	0.9060	12.47***
α ARCH Response to squared shocks	0.1267	28.50***
β GARCH Volatility persistence	0.8325	395.11***
γ leverage Additional response to negative shocks	0.0816	9.29***

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Digital Graphics Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

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