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	1.8514	3.44***
α ARCH Response to squared shocks	0.3413	8.49***
β GARCH Volatility persistence	0.6575	16.29***

γ₁	1.3389	1.59
γ₂	-4.8537	-2.29**
γ₃	9.2040	2.79***
γ₄	-19.2193	-3.65***
γ₅	31.8885	4.32***
γ₆	-28.2843	-4.77***
γ₇	12.1596	5.93***
γ₈	-3.3509	-4.11***
γ₉	0.4788	0.54
γ₁₀	2.5968	1.53

V-Lab

Indo Thai Securities Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Indo Thai Securities Ltd Analyses