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	5.0000	0.66
α ARCH Response to squared shocks	0.1073	12.81***
β GARCH Volatility persistence	0.8876	255.72***
γ leverage Additional response to negative shocks	0.0102	1.31

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