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	2.9028	2.30**
α ARCH Response to squared shocks	0.1406	4.35***
β GARCH Volatility persistence	0.8192	30.15***

γ₁	0.1918	5.07***
γ₂	-0.2810	-4.92***

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oOh!media Ltd Spline ILLIQ Liquidity Analysis

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