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	2.9835	2.03**
α ARCH Response to squared shocks	0.3013	7.43***
β GARCH Volatility persistence	0.6818	20.73***

γ₁	-0.5604	-1.60
γ₂	0.7954	1.63
γ₃	-1.1283	-3.18***
γ₄	1.8606	4.46***
γ₅	-1.1758	-2.32**
γ₆	0.0678	0.06

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