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	3.9480	0.16
α ARCH Response to squared shocks	0.0258	2.83***
β GARCH Volatility persistence	0.9485	159.34***
γ leverage Additional response to negative shocks	0.0511	2.92***

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Text SA Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Text SA Analyses