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	0.0667	13.37***
β GARCH Volatility persistence	0.9255	335.71***
γ leverage Additional response to negative shocks	0.0156	1.19

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BioPharma Credit PLC Asymmetric ILLIQ Liquidity Analysis

Date Range:

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