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	0.0770	10.39***
α ARCH Response to squared shocks	0.0202	15.21***
β GARCH Volatility persistence	0.9523	973.73***
γ leverage Additional response to negative shocks	0.0490	19.67***

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Goldman Sachs Group Inc/The Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Goldman Sachs Group Inc/The Analyses