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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	2.1844	5.65***
α ARCH Response to squared shocks	0.3556	4.86***
β GARCH Volatility persistence	0.1720	1.22
γ leverage Additional response to negative shocks	0.1189	1.39

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