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	2.0607	1.91*
α ARCH Response to squared shocks	0.2047	3.87***
β GARCH Volatility persistence	0.7851	15.44***

γ₁	-1.7571	-1.31
γ₂	-0.2374	-0.10
γ₃	8.2065	5.40***
γ₄	-13.1302	-13.10***
γ₅	11.9010	7.34***
γ₆	-7.2562	-3.47***
γ₇	2.6143	1.52
γ₈	-0.5764	-0.31

V-Lab

Bali Towerindo Sentra Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bali Towerindo Sentra Analyses