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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7100	8.64***
α ARCH Response to squared shocks	0.0306	3.41***
β GARCH Volatility persistence	0.8718	80.64***
γ leverage Additional response to negative shocks	0.0362	2.45**

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Giant Biogene Holding Co GJR-GARCH Volatility Analysis

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