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	1.2354	0.36
α ARCH Response to squared shocks	0.0823	0.03
β GARCH Volatility persistence	0.9177	0.36

γ₁	-0.0879	-0.02
γ₂	0.1162	0.02
γ₃	-0.0458	-0.03

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