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	0.0020	1.48
α ARCH Response to squared shocks	0.0360	4.53***
β GARCH Volatility persistence	0.8911	223.95***
γ leverage Additional response to negative shocks	0.1458	8.20***

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Medco Energi Intl Tbk Pt Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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