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	0.59
α ARCH Response to squared shocks	0.0773	21.21***
β GARCH Volatility persistence	0.8969	428.10***
γ leverage Additional response to negative shocks	0.0516	7.34***

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System Location Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

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