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	0.8155	12.13***
α ARCH Response to squared shocks	0.0790	7.63***
β GARCH Volatility persistence	0.8873	162.00***
γ leverage Additional response to negative shocks	0.0666	6.31***

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Bank of New York Mellon Corp/The Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bank of New York Mellon Corp/The Analyses