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	0.4690	6.90***
α ARCH Response to squared shocks	0.0821	5.37***
β GARCH Volatility persistence	0.9007	118.46***
γ leverage Additional response to negative shocks	0.0345	1.78*

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Yen Bai Industry Mineral Jsc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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