How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	0.11
α ARCH Response to squared shocks	0.1591	6.05***
β GARCH Volatility persistence	0.8072	77.78***
γ leverage Additional response to negative shocks	0.0674	1.58

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