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	1.9308	7.60***
α ARCH Response to squared shocks	0.3241	3.95***
β GARCH Volatility persistence	0.3678	3.01***

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Iware Supplychain Services Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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