How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.2983	0.31
β GARCH Volatility persistence	0.6353	29.07***
γ leverage Additional response to negative shocks	-0.2983	-0.15
λ₁ tau intercept Baseline long-term coefficient	0.0152	0.39
λ₂ forecast adj. Forecast performance sensitivity	0.8537	0.38
λ₃ tau persistence Long-term factor persistence	0.1463	0.29

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Medco Energi Intl Tbk Pt ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Medco Energi Intl Tbk Pt Analyses