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	1.4619	14.21***
α ARCH Response to squared shocks	0.0511	11.22***
β GARCH Volatility persistence	0.9373	459.47***
γ leverage Additional response to negative shocks	0.0232	3.18***

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Asahimas Flat Glass Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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