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	0.7881	0.02
α ARCH Response to squared shocks	0.0237	0.85
β GARCH Volatility persistence	0.9495	185.89***
γ leverage Additional response to negative shocks	0.0536	0.51

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Sierra Cables PLC Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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