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	0.5413	0.82
α ARCH Response to squared shocks	0.0697	2.99***
β GARCH Volatility persistence	0.8946	81.48***
γ leverage Additional response to negative shocks	0.0713	3.06***

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3M India Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other 3M India Ltd Analyses