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	2.8675	1.00
α ARCH Response to squared shocks	0.0152	7.35***
β GARCH Volatility persistence	0.9387	552.84***
γ leverage Additional response to negative shocks	0.0922	10.12***

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Commercial Credit And Fin Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Commercial Credit And Fin Analyses