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	0.7026	0.00
α ARCH Response to squared shocks	0.1335	0.00
β GARCH Volatility persistence	0.8665	0.01

γ₁	-0.0065	0.00
γ₂	0.6820	0.00
γ₃	-1.7766	0.00
γ₄	2.0594	0.02
γ₅	-2.4740	-0.13
γ₆	3.2410	0.01
γ₇	-3.0547	0.00
γ₈	2.1203	0.00
γ₉	-0.7637	0.00
γ₁₀	0.0413	0.00

V-Lab

Matahari Putra Prima Tbk Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Matahari Putra Prima Tbk Analyses