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	4.3466	12.10***
α ARCH Response to squared shocks	0.0921	9.44***
β GARCH Volatility persistence	0.9016	151.28***
γ leverage Additional response to negative shocks	0.0125	1.16

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Axis Consulting Corporation Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Axis Consulting Corporation Analyses