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	0.83
α ARCH Response to squared shocks	0.1585	3.96***
β GARCH Volatility persistence	0.7304	20.55***
γ leverage Additional response to negative shocks	0.2224	0.96

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Ashika Global Securities Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ashika Global Securities Ltd Analyses