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	0.9465	1.36
α ARCH Response to squared shocks	0.3698	0.45
β GARCH Volatility persistence	0.7624	4.57***
γ leverage Additional response to negative shocks	-0.2644	-0.33

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3-2 INVESTMENT AND CONSTRUCTION JSC Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other 3-2 INVESTMENT AND CONSTRUCTION JSC Analyses