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	1.9321	5.96***
α ARCH Response to squared shocks	0.0616	24.73***
β GARCH Volatility persistence	0.8814	380.88***
γ leverage Additional response to negative shocks	0.1141	35.82***

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