How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	2.05**
α ARCH Response to squared shocks	0.1023	5.53***
β GARCH Volatility persistence	0.8262	133.17***
γ leverage Additional response to negative shocks	0.1429	4.76***

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Date Range:

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