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	0.5563	8.74***
α ARCH Response to squared shocks	0.0384	23.66***
β GARCH Volatility persistence	0.9394	853.98***
γ leverage Additional response to negative shocks	0.0405	15.15***

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Ralph Lauren Corp Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ralph Lauren Corp Analyses