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	1.3331	4.56***
α ARCH Response to squared shocks	0.3488	4.47***
β GARCH Volatility persistence	0.4601	4.37***

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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