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	0.00
α ARCH Response to squared shocks	0.3205	0.52
β GARCH Volatility persistence	0.8203	7.70***
γ leverage Additional response to negative shocks	-0.2815	-0.47

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Naos Emerging Opportunities Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

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