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	0.6082	4.34***
α ARCH Response to squared shocks	0.0220	4.98***
β GARCH Volatility persistence	0.8983	303.59***
γ leverage Additional response to negative shocks	0.1324	18.12***

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Suzhou Recodeal Interconnect System Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

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