V-Lab
Indonesia Pondasi Raya TBK Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Wednesday, September 30th, 2026
1 Day
13,219.59
increased by 4,734.22
1 Week
7,739.19
decreased by 746.18
1 Month
4,375.74
decreased by 4,109.63
Analysis last updated: Wednesday, September 30, 2026 at 09:08 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Dec 10, 2015 to Sep 25, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 99021 trading days (~392.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
High persistence: persistence 1.000, shock half-life ~99021 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.3721 | 0.00 |
| αARCH | 0.1709 | 0.00 |
| βGARCH | 0.8291 | 0.00 |
Spline Coefficients
K=10
| γ1 | 5.0533 | 0.00 |
| γ2 | -9.1433 | 0.00 |
| γ3 | 3.4429 | 0.00 |
| γ4 | -2.2273 | 0.00 |
| γ5 | 0.2588 | 0.00 |
| γ6 | 16.2106 | 0.03 |
| γ7 | -25.9662 | -0.01 |
| γ8 | 18.8381 | 0.01 |
| γ9 | -13.6869 | -0.02 |
| γ10 | 19.3499 | 0.00 |
1.000
Persistence99021d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3721 | 0.00 |
α ARCH Response to squared shocks | 0.1709 | 0.00 |
β GARCH Volatility persistence | 0.8291 | 0.00 |
Spline Coefficients
K=10
| γ1 | 5.0533 | 0.00 |
| γ2 | -9.1433 | 0.00 |
| γ3 | 3.4429 | 0.00 |
| γ4 | -2.2273 | 0.00 |
| γ5 | 0.2588 | 0.00 |
| γ6 | 16.2106 | 0.03 |
| γ7 | -25.9662 | -0.01 |
| γ8 | 18.8381 | 0.01 |
| γ9 | -13.6869 | -0.02 |
| γ10 | 19.3499 | 0.00 |
Persistence:
1.000
Half-life:
99021 days
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