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	1.1853	1.76*
α ARCH Response to squared shocks	0.0387	11.96***
β GARCH Volatility persistence	0.9598	471.88***
γ leverage Additional response to negative shocks	0.0029	0.71

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Warehouses De Pauw CVA Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Warehouses De Pauw CVA Analyses