How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7164	8.29***
α ARCH Response to squared shocks	0.0188	5.71***
β GARCH Volatility persistence	0.9240	403.16***
γ leverage Additional response to negative shocks	0.0985	13.99***

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