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	51
α ARCH Response to squared shocks	0.2449	0.08
β GARCH Volatility persistence	0.8087	60.16***
γ leverage Additional response to negative shocks	-0.2448	-0.04
λ₁ tau intercept Baseline long-term coefficient	0.2402	0.09
λ₂ forecast adj. Forecast performance sensitivity	0.9264	0.09
λ₃ tau persistence Long-term factor persistence	0.0736	0.05

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Matahari Putra Prima Tbk ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Matahari Putra Prima Tbk Analyses