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	0.0000	0.00
α ARCH Response to squared shocks	0.0262	2.77***
β GARCH Volatility persistence	0.8567	128.23***
γ leverage Additional response to negative shocks	0.2342	4.53***

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