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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	0.5184	5.36***
α ARCH Response to squared shocks	0.1247	5.25***
β GARCH Volatility persistence	0.8631	61.41***
γ leverage Additional response to negative shocks	-0.1247	-5.35***

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Contemporary Amperex Tech Co GJR-GARCH Volatility Analysis

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News Impact Curve

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Parameter Estimates

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