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	0.8879	5.48***
α ARCH Response to squared shocks	0.1522	5.96***
β GARCH Volatility persistence	0.8476	33.83***

γ₁	-1.3204	-2.29**
γ₂	2.8122	2.48**
γ₃	-1.9386	-2.49**
γ₄	0.2563	0.97
γ₅	0.2907	2.09**

V-Lab

Cahya Mata Sarawak BHD Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cahya Mata Sarawak BHD Analyses