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	0.8943	7.73***
α ARCH Response to squared shocks	0.3736	5.27***
β GARCH Volatility persistence	0.6263	8.81***

γ₁	-10.1739	-0.51
γ₂	13.5693	0.51
γ₃	0.6953	0.04
γ₄	-26.3542	-1.20
γ₅	53.3711	2.47**
γ₆	-53.7439	-2.73***

V-Lab

PT Ikapharmindo Putramas TBK Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other PT Ikapharmindo Putramas TBK Analyses