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	0.0949	0.90
α ARCH Response to squared shocks	0.0794	22.57***
β GARCH Volatility persistence	0.8446	321.13***
γ leverage Additional response to negative shocks	0.1520	29.11***

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Netyear Group Corp Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Netyear Group Corp Analyses