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	2.8317	0.74
α ARCH Response to squared shocks	0.0600	3.29***
β GARCH Volatility persistence	0.8918	81.59***
γ leverage Additional response to negative shocks	0.0965	2.68***

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J-Escom Holdings Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

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