V-Lab
Fujian SBS Zipper Science & Technology Co Ltd Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Monday, September 28th, 2026
1 Day
430.06
increased by 8.23
1 Week
494.86
increased by 73.03
1 Month
513.05
increased by 91.22
Analysis last updated: Friday, September 25, 2026 at 07:22 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Dec 22, 2006 to Sep 24, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 99021 trading days (~392.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
High persistence: persistence 1.000, shock half-life ~99021 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.5005 | 0.00 |
| αARCH | 0.3617 | 0.00 |
| βGARCH | 0.6383 | 0.00 |
Spline Coefficients
K=10
| γ1 | -0.0783 | 0.00 |
| γ2 | -7.7110 | 0.00 |
| γ3 | 14.9475 | 0.00 |
| γ4 | -11.8232 | 0.00 |
| γ5 | 21.4800 | 0.00 |
| γ6 | -36.5140 | 0.00 |
| γ7 | 31.1942 | 0.00 |
| γ8 | -15.3347 | 0.00 |
| γ9 | 3.1472 | 0.00 |
| γ10 | 1.3087 | 0.00 |
1.000
Persistence99021d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.5005 | 0.00 |
α ARCH Response to squared shocks | 0.3617 | 0.00 |
β GARCH Volatility persistence | 0.6383 | 0.00 |
Spline Coefficients
K=10
| γ1 | -0.0783 | 0.00 |
| γ2 | -7.7110 | 0.00 |
| γ3 | 14.9475 | 0.00 |
| γ4 | -11.8232 | 0.00 |
| γ5 | 21.4800 | 0.00 |
| γ6 | -36.5140 | 0.00 |
| γ7 | 31.1942 | 0.00 |
| γ8 | -15.3347 | 0.00 |
| γ9 | 3.1472 | 0.00 |
| γ10 | 1.3087 | 0.00 |
Persistence:
1.000
Half-life:
99021 days
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