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	2.3035	0.00
α ARCH Response to squared shocks	0.2443	0.00
β GARCH Volatility persistence	0.7557	0.00

γ₁	-3.0315	0.00
γ₂	4.6538	0.00
γ₃	-2.3586	0.00
γ₄	0.7938	0.01
γ₅	-0.0088	0.00
γ₆	-0.0302	0.00
γ₇	0.2913	0.00
γ₈	-2.7729	-0.01
γ₉	4.8887	0.00
γ₁₀	-0.7202	0.00

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