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	0.4814	2.55**
α ARCH Response to squared shocks	0.0464	13.47***
β GARCH Volatility persistence	0.9529	642.58***
γ leverage Additional response to negative shocks	0.0014	0.23

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James Hardie Industries PLC Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other James Hardie Industries PLC Analyses