How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.3197	0.16
β GARCH Volatility persistence	0.6570	44.41***
γ leverage Additional response to negative shocks	-0.3197	-0.08
λ₁ tau intercept Baseline long-term coefficient	1.0454	0.18
λ₂ forecast adj. Forecast performance sensitivity	0.0933	0.17
λ₃ tau persistence Long-term factor persistence	0.9067	38.54***

V-Lab

Bintang Mitra Semestaraya ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bintang Mitra Semestaraya Analyses