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	1.3986	1.58
α ARCH Response to squared shocks	0.1802	5.53***
β GARCH Volatility persistence	0.8185	25.25***

γ₁	1.0377	1.49
γ₂	-3.7846	-2.43**
γ₃	5.0755	2.53**
γ₄	-3.1510	-1.55
γ₅	1.7718	1.34
γ₆	-3.3318	-3.61***
γ₇	4.9725	4.65***
γ₈	-3.6038	-2.73***
γ₉	-0.5014	-0.30
γ₁₀	4.5597	3.26***

V-Lab

Sona Topas Tourism TBK (Pt) Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sona Topas Tourism TBK (Pt) Analyses