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	0.96
α ARCH Response to squared shocks	0.0305	5.62***
β GARCH Volatility persistence	0.9697	431.72***
γ leverage Additional response to negative shocks	-0.0002	-0.03

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Contact Financial Holding Asymmetric ILLIQ Liquidity Analysis

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News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Contact Financial Holding Analyses