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{name} Model Equation

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How returns affect tomorrow's illiquidity

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Param	Value	t-stat
ωconst	1.9424	3.21***
αARCH	0.2314	11.58***
βGARCH	0.7679	38.52***

γ₁	-0.3963	-3.79***
γ₂	0.7016	4.81***
γ₃	-0.4305	-5.02***
γ₄	0.0724	0.77
γ₅	0.1277	0.94
γ₆	-0.1108	-0.48
γ₇	-0.4722	-0.87
γ₈	1.8550	1.58

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9424	3.21***
α ARCH Response to squared shocks	0.2314	11.58***
β GARCH Volatility persistence	0.7679	38.52***

γ₁	-0.3963	-3.79***
γ₂	0.7016	4.81***
γ₃	-0.4305	-5.02***
γ₄	0.0724	0.77
γ₅	0.1277	0.94
γ₆	-0.1108	-0.48
γ₇	-0.4722	-0.87
γ₈	1.8550	1.58

V-Lab

Malaysian Pacific Indus Bhd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Malaysian Pacific Indus Bhd Analyses