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	0.0854	2.40**
α ARCH Response to squared shocks	0.1065	5.61***
β GARCH Volatility persistence	0.8694	72.17***
γ leverage Additional response to negative shocks	0.0483	0.97

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Indonesia Pondasi Raya TBK Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Indonesia Pondasi Raya TBK Analyses