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	1.3711	5.66***
α ARCH Response to squared shocks	0.0513	22.85***
β GARCH Volatility persistence	0.9304	453.61***
γ leverage Additional response to negative shocks	0.0367	13.88***

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