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	31.0330	0.00
α ARCH Response to squared shocks	0.2622	0.00
β GARCH Volatility persistence	0.7378	0.01

γ₁	-1.1105	-0.18
γ₂	1.9309	0.13
γ₃	-1.8437	-0.08
γ₄	1.9138	0.09
γ₅	-1.1386	-0.35
γ₆	0.3904	0.08
γ₇	-0.6400	-0.69
γ₈	0.4023	0.01
γ₉	1.2587	0.01
γ₁₀	-2.3782	-0.02

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Medco Energi Intl Tbk Pt Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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