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	1.8433	3.57***
α ARCH Response to squared shocks	0.2073	11.78***
β GARCH Volatility persistence	0.7923	45.04***

γ₁	-0.6021	-3.12***
γ₂	0.8928	3.43***
γ₃	-0.3012	-1.85*
γ₄	0.0676	0.39
γ₅	-1.4653	-2.17**
γ₆	4.1047	2.22**
γ₇	-4.6026	-2.18**
γ₈	2.5105	2.13**
γ₉	-0.6770	-1.50
γ₁₀	-0.1661	-0.61

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Malaysian Pacific Indus Bhd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Malaysian Pacific Indus Bhd Analyses