How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3908	0.76
α ARCH Response to squared shocks	0.0113	2.41**
β GARCH Volatility persistence	0.9449	287.02***
γ leverage Additional response to negative shocks	0.0877	3.91***

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Bali Towerindo Sentra Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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