Indonesia Pondasi Raya TBK ILLIQ-MFMEM Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Monday, July 20th, 2026
1 Day
19,256.71
1 Week
10,328.65
1 Month
4,618.35
Analysis last updated: Sunday, July 19, 2026 at 04:41 AM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 10, 2015 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 14291 trading days (~56.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. This multi-frequency model splits illiquidity into a fast short-run component and a slow-moving long-run level that drifts over the sample rather than a constant baseline.
ILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 51 | |
α ARCH Response to squared shocks | 0.3497 | 0.02 |
β GARCH Volatility persistence | 0.8251 | 15.96*** |
γ leverage Additional response to negative shocks | -0.3497 | -0.01 |
λ₁ tau intercept Baseline long-term coefficient | 10.0000 | 0.02 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0279 | 0.02 |
λ₃ tau persistence Long-term factor persistence | 0.8962 | 1.10 |
Persistence:
1.000
Half-life:
14291 days
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