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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0072	3.15***
β GARCH Volatility persistence	0.8284	136.72***
γ leverage Additional response to negative shocks	0.1196	30.07***
λ₁ tau intercept Baseline long-term coefficient	0.2787	4.37***
λ₂ forecast adj. Forecast performance sensitivity	0.7320	8.56***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Ishares Global Agriculture MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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