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	1.3564	2.83***
α ARCH Response to squared shocks	0.1693	9.96***
β GARCH Volatility persistence	0.7540	58.58***
γ leverage Additional response to negative shocks	0.1535	3.84***

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Day1 Company Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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