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	1.3572	4.87***
α ARCH Response to squared shocks	0.3201	4.17***
β GARCH Volatility persistence	0.5050	4.51***

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Our Bond Inc Spline ILLIQ Liquidity Analysis

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News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Our Bond Inc Analyses