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	0.9384	0.18
α ARCH Response to squared shocks	0.1510	0.01
β GARCH Volatility persistence	0.8489	0.08

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Date Range:

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