How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.1658	29.27***
β GARCH Volatility persistence	0.7729	129.51***
γ leverage Additional response to negative shocks	0.0206	4.51***
λ₁ tau intercept Baseline long-term coefficient	8,647.5774

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Urban Enviro Waste Managemen ILLIQ-MFMEM Liquidity Analysis

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