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	0.9913	1.63
α ARCH Response to squared shocks	0.1856	3.17***
β GARCH Volatility persistence	0.7129	8.26***

γ₁	10.8300	1.63
γ₂	-15.8291	-1.67*
γ₃	10.2280	1.99**
γ₄	-7.3963	-1.46
γ₅	-8.7959	-1.29
γ₆	29.4647	4.67***
γ₇	-33.6716	-8.74***
γ₈	24.7933	5.16***
γ₉	-14.7841	-1.96*

V-Lab

PT Super Energy TBK Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other PT Super Energy TBK Analyses