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	2.9772	3.54***
α ARCH Response to squared shocks	0.2232	14.29***
β GARCH Volatility persistence	0.7731	51.74***

γ₁	0.0338	1.72*
γ₂	-0.0374	-1.30
γ₃	0.0315	1.32
γ₄	-0.1579	-4.66***

V-Lab

Malayan Cement BHD Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Malayan Cement BHD Analyses