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	5.0000	0.00
α ARCH Response to squared shocks	0.2171	1.47
β GARCH Volatility persistence	0.7592	11.53***
γ leverage Additional response to negative shocks	0.0474	0.19

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Our Bond Inc Asymmetric ILLIQ Liquidity Analysis

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Illiquidity Forecast

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