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	2.03**
α ARCH Response to squared shocks	0.0605	14.64***
β GARCH Volatility persistence	0.9186	778.45***
γ leverage Additional response to negative shocks	0.0418	6.66***

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