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	1.2087	3.01***
α ARCH Response to squared shocks	0.1232	3.30***
β GARCH Volatility persistence	0.8743	21.94***

γ₁	-1.2107	-0.78
γ₂	0.4691	0.22
γ₃	2.6663	2.53**
γ₄	-5.3620	-3.81***
γ₅	6.5319	3.03***
γ₆	-5.7400	-2.72***
γ₇	4.2611	2.43**
γ₈	-0.7420	-0.49
γ₉	-1.5922	-1.23
γ₁₀	0.2435	0.10

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Bintang Mitra Semestaraya Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bintang Mitra Semestaraya Analyses