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	0.5932	0.15
α ARCH Response to squared shocks	0.2993	0.00
β GARCH Volatility persistence	0.7007	0.01

γ₁	-1.1185	-0.04
γ₂	1.4374	0.04
γ₃	-0.3987	-0.02
γ₄	-0.3949	-0.04
γ₅	0.7519	0.22
γ₆	0.0087	0.00
γ₇	-0.6496	-0.14
γ₈	0.5614	0.07

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Kerjaya Prospek Group Bhd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kerjaya Prospek Group Bhd Analyses