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	1.2410	0.88
α ARCH Response to squared shocks	0.3670	1.54
β GARCH Volatility persistence	0.6329	2.66***

γ₁	-5.5825	-5.99***
γ₂	3.7964	2.75***
γ₃	4.2216	4.42***
γ₄	-2.7531	-2.91***
γ₅	0.2388	0.21
γ₆	-0.2576	-0.10

V-Lab

Asuransi Jiwa Syar Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Asuransi Jiwa Syar Analyses