How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8788	0.22
α ARCH Response to squared shocks	0.2190	0.01
β GARCH Volatility persistence	0.7810	0.02

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Living Technologies Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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