V-Lab
Sewon Corp 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 Wednesday, August 5th, 2026
1 Day
9,812.88
decreased by 3,674.80
1 Week
5,238.33
decreased by 8,249.35
1 Month
2,999.74
decreased by 10,487.94
Analysis last updated: Wednesday, August 5, 2026 at 07:50 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 16, 2007 to Jul 31, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 77016 trading days (~305.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7689 | 0.14 |
α ARCH Response to squared shocks | 0.2873 | 0.00 |
β GARCH Volatility persistence | 0.7127 | 0.00 |
Spline Coefficients
K=10
| γ1 | -4.7930 | -0.01 |
| γ2 | 7.5059 | 0.01 |
| γ3 | -5.2043 | -0.03 |
| γ4 | 4.3630 | 0.03 |
| γ5 | -7.0329 | -0.05 |
| γ6 | 12.4329 | 0.02 |
| γ7 | -11.8218 | -0.01 |
| γ8 | 7.5224 | 0.08 |
| γ9 | -5.7996 | -0.01 |
| γ10 | 5.9449 | 0.01 |
Persistence:
1.000
Half-life:
77016 days
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