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	1.0476	4.37***
α ARCH Response to squared shocks	0.1670	8.86***
β GARCH Volatility persistence	0.8328	44.17***

γ₁	2.4123	3.76***
γ₂	-4.6779	-4.40***
γ₃	4.2852	4.70***
γ₄	-5.0203	-5.54***
γ₅	6.0020	6.54***
γ₆	-4.7641	-5.60***
γ₇	2.3798	1.77*

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Visi Telekomunikasi Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Visi Telekomunikasi Analyses