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	0.46
α ARCH Response to squared shocks	0.0477	2.60***
β GARCH Volatility persistence	0.9661	1,059.37***
γ leverage Additional response to negative shocks	-0.0276	-1.14

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Taiwan Auto-Design Co Asymmetric ILLIQ Liquidity Analysis

Date Range:

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