How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.0865	14.11***
β GARCH Volatility persistence	0.8079	56.40***
γ leverage Additional response to negative shocks	0.0209	6.34***
λ₁ tau intercept Baseline long-term coefficient	5,283.2982

V-Lab

Jaya Tiasa Holdings BHD ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Jaya Tiasa Holdings BHD Analyses