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	0.5721	1.33
α ARCH Response to squared shocks	0.2706	7.86***
β GARCH Volatility persistence	0.7273	21.10***

γ₁	-12.8422	-2.35**
γ₂	20.6948	2.50**
γ₃	-10.9500	-1.49
γ₄	-2.4331	-0.29
γ₅	15.2802	2.54**
γ₆	-20.1361	-5.41***
γ₇	17.2848	4.41***
γ₈	-6.9118	-1.18
γ₉	-2.5639	-0.41
γ₁₀	-5.4146	-0.72

V-Lab

Indonesia Prima Prop (Pt) Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Indonesia Prima Prop (Pt) Analyses