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	6.81***
α ARCH Response to squared shocks	0.0692	29.22***
β GARCH Volatility persistence	0.8996	612.81***
γ leverage Additional response to negative shocks	0.0624	14.99***

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Hsing Ta Cement Co Asymmetric ILLIQ Liquidity Analysis

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