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	4.1920	2.14**
α ARCH Response to squared shocks	0.1252	5.81***
β GARCH Volatility persistence	0.8173	89.18***
γ leverage Additional response to negative shocks	0.1149	2.69***

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Hcl Infosystems Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hcl Infosystems Ltd Analyses