V-Lab
Sfa Engineering Corp Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, September 21st, 2026
1 Day
9.09
decreased by 0.60
1 Week
9.64
decreased by 0.05
1 Month
10.16
increased by 0.47
Analysis last updated: Sunday, September 20, 2026 at 01:26 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Apr 9, 2003 to Sep 18, 2026Model Insight
This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 54 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
Time-varying baseline: illiquidity reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.0131 | 9.80*** |
| αARCH | 0.1220 | 15.58*** |
| βGARCH | 0.8651 | 101.78*** |
Spline Coefficients
K=1
| γ1 | 0.0032 | 2.09** |
0.987
Persistence54d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.0131 | 9.80*** |
α ARCH Response to squared shocks | 0.1220 | 15.58*** |
β GARCH Volatility persistence | 0.8651 | 101.78*** |
Spline Coefficients
K=1
| γ1 | 0.0032 | 2.09** |
Persistence:
0.987
Half-life:
54 days
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