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	0.2643	8.38***
α ARCH Response to squared shocks	0.0150	13.32***
β GARCH Volatility persistence	0.9536	1,111.40***
γ leverage Additional response to negative shocks	0.0608	37.00***

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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