SPT Energy Group Inc Spline ILLIQ 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
2,446,337.00
decreased by 66,840.00
1 Week
3,678,290.80
increased by 1,165,113.80
1 Month
1,545,062.64
decreased by 968,114.36
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 63013 trading days (~250.1 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 | 0.6503 | 0.01 |
α ARCH Response to squared shocks | 0.2683 | 0.00 |
β GARCH Volatility persistence | 0.7317 | 0.01 |
Spline Coefficients
K=10
| γ1 | -10.4271 | 0.00 |
| γ2 | 13.6217 | 0.00 |
| γ3 | 3.9240 | 0.00 |
| γ4 | -13.9557 | 0.00 |
| γ5 | 8.5327 | 0.00 |
| γ6 | -2.1372 | -0.01 |
| γ7 | 0.8378 | 0.01 |
| γ8 | -0.0486 | 0.00 |
| γ9 | -1.6338 | -0.01 |
| γ10 | 2.0674 | 0.03 |
Persistence:
1.000
Half-life:
63013 days
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