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	2.29**
α ARCH Response to squared shocks	0.1208	13.29***
β GARCH Volatility persistence	0.8564	323.90***
γ leverage Additional response to negative shocks	0.0429	2.41**

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Yrglm Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Yrglm Inc Analyses