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	12.16***
α ARCH Response to squared shocks	0.1249	18.39***
β GARCH Volatility persistence	0.7768	344.16***
γ leverage Additional response to negative shocks	0.1835	13.25***

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Guangzhou Devotion Thermal Technology Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

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