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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	0.0000	0.00
α ARCH Response to squared shocks	0.0899	28.59***
β GARCH Volatility persistence	0.8773	319.93***
γ leverage Additional response to negative shocks	0.6908	23.02***

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Dow Jones Euro Stoxx Index AGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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