How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.2002	24.27***
β GARCH Volatility persistence	0.7727	100.11***
γ leverage Additional response to negative shocks	-0.0394	-3.84***
λ₁ tau intercept Baseline long-term coefficient	135,175.2447

V-Lab

Indonesia Prima Prop (Pt) ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Indonesia Prima Prop (Pt) Analyses