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	2.2143	3.23***
α ARCH Response to squared shocks	0.0533	12.49***
β GARCH Volatility persistence	0.9307	309.09***
γ leverage Additional response to negative shocks	0.0320	3.12***

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Development Invt Constr Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Development Invt Constr Analyses