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	0.79
α ARCH Response to squared shocks	0.0668	13.31***
β GARCH Volatility persistence	0.9249	330.55***
γ leverage Additional response to negative shocks	0.0166	1.26

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BioPharma Credit PLC Asymmetric ILLIQ Liquidity Analysis

Date Range:

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