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	0.11
α ARCH Response to squared shocks	0.0736	8.24***
β GARCH Volatility persistence	0.9432	650.02***
γ leverage Additional response to negative shocks	-0.0337	-2.29**

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Mo-Bruk Sa Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Mo-Bruk Sa Analyses