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	1.1783	1.39
α ARCH Response to squared shocks	0.2209	9.89***
β GARCH Volatility persistence	0.7781	34.67***

γ₁	-4.8663	-7.36***
γ₂	8.3127	8.17***
γ₃	-5.0798	-7.03***
γ₄	1.9175	1.60

V-Lab

Pt Bali Bintang Sejahtera Tb Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Pt Bali Bintang Sejahtera Tb Analyses