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	1.6212	2.29**
α ARCH Response to squared shocks	0.0861	4.72***
β GARCH Volatility persistence	0.8666	80.38***
γ leverage Additional response to negative shocks	0.0829	2.16**

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& Do Holdings Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

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