SPT Energy Group Inc ILLIQ-MFMEM Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Monday, July 20th, 2026
1 Day
2,576,168.00
1 Week
2,989,389.60
1 Month
1,128,147.50
Analysis last updated: Saturday, July 18, 2026 at 11:04 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 27, 2011 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 1386294 trading days (~5501.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. This multi-frequency model splits illiquidity into a fast short-run component and a slow-moving long-run level that drifts over the sample rather than a constant baseline.
ILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 111 | |
α ARCH Response to squared shocks | 0.1573 | 0.88 |
β GARCH Volatility persistence | 0.8852 | 173.33*** |
γ leverage Additional response to negative shocks | -0.0850 | -0.25 |
λ₁ tau intercept Baseline long-term coefficient | 0.0000 | 1.00 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0000 | 0.52 |
λ₃ tau persistence Long-term factor persistence | 0.0054 | 3.73*** |
Persistence:
1.000
Half-life:
1386294 days
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