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	0.4019	0.00
α ARCH Response to squared shocks	0.1706	0.00
β GARCH Volatility persistence	0.8294	0.00

γ₁	4.9843	0.00
γ₂	-8.8229	0.00
γ₃	2.8602	0.00
γ₄	-1.0357	-0.01
γ₅	-3.0276	-0.01
γ₆	21.4116	0.02
γ₇	-29.6195	-0.01
γ₈	19.3466	0.01
γ₉	-12.6312	-0.01
γ₁₀	17.7119	0.01

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Indonesia Pondasi Raya TBK Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Indonesia Pondasi Raya TBK Analyses