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	5.7880	0.00
α ARCH Response to squared shocks	0.2515	0.00
β GARCH Volatility persistence	0.7485	0.00

γ₁	-2.6115	0.00
γ₂	4.1601	0.00
γ₃	-2.2661	0.00
γ₄	0.7793	0.00
γ₅	-0.0119	0.00
γ₆	-0.0295	0.00
γ₇	0.2655	0.00
γ₈	-2.8562	0.00
γ₉	5.6052	0.00
γ₁₀	-2.3796	0.00

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Date Range:

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