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	0.0284	2.82***
β GARCH Volatility persistence	0.8574	131.43***
γ leverage Additional response to negative shocks	0.2283	4.40***

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