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	0.5423	2.76***
α ARCH Response to squared shocks	0.1147	3.59***
β GARCH Volatility persistence	0.8258	15.55***

γ₁	-2.4240	-1.34
γ₂	5.8650	2.18**
γ₃	-5.8502	-2.99***
γ₄	2.8891	1.68*
γ₅	-2.9215	-1.77*
γ₆	10.7832	5.45***

V-Lab

Krom Bank Indonesia Tbk PT Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Krom Bank Indonesia Tbk PT Analyses