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	0.1705	2.10**
α ARCH Response to squared shocks	0.0976	10.31***
β GARCH Volatility persistence	0.8406	188.38***
γ leverage Additional response to negative shocks	0.1237	8.41***

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Pt Bali Bintang Sejahtera Tb Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Pt Bali Bintang Sejahtera Tb Analyses