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	1.3272	3.81***
α ARCH Response to squared shocks	0.2293	8.65***
β GARCH Volatility persistence	0.7694	29.32***

γ₁	-1.0212	-4.15***
γ₂	1.7993	4.47***
γ₃	-2.7143	-6.24***
γ₄	4.5833	7.17***
γ₅	-3.6763	-6.67***
γ₆	0.7924	2.83***
γ₇	0.3964	2.77***
γ₈	-0.2352	-2.33**
γ₉	0.1814	1.26

V-Lab

Medco Energi Intl Tbk Pt Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Medco Energi Intl Tbk Pt Analyses