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FTSE 100 Implied Volatility Index 30 Days

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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6178	2.36**
α ARCH Response to squared shocks	0.0277	1.99**
β GARCH Volatility persistence	0.9238	29.91***
γ leverage Additional response to negative shocks	-0.0277	-1.71*

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Kuaishou Technology GJR-GARCH Volatility Analysis

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