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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	402.0643	7.67***
α ARCH Response to squared shocks	0.1492	97.73***
β GARCH Volatility persistence	0.9722	292.21***
ν DF Student-t tail thickness	2.1540	395.17***

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Smart Powerr Corp GAS-GARCH Student T Volatility Analysis

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News Impact Curve

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