V-Lab
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
Illiquidity prediction for Thursday, September 17th, 2026
1 Day
2,527,916.00
1 Week
2,911,129.33
1 Month
1,776,851.06
Analysis last updated: Thursday, September 17, 2026 at 06:54 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Dec 27, 2011 to Sep 11, 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.
ILLIQ-SMEM Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7136 | 0.01 |
| αARCH | 0.2632 | 0.00 |
| βGARCH | 0.7368 | 0.00 |
| γ1 | -10.3342 | 0.00 |
| γ2 | 13.8377 | 0.00 |
| γ3 | 3.0885 | 0.00 |
| γ4 | -13.2917 | 0.00 |
| γ5 | 8.6014 | 0.00 |
| γ6 | -2.4959 | 0.00 |
| γ7 | 1.0488 | 0.01 |
| γ8 | -0.0978 | 0.00 |
| γ9 | -1.8895 | -0.01 |
| γ10 | 3.1276 | 0.01 |
1.000
Persistence77016d
Half-lifeILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7136 | 0.01 |
α ARCH Response to squared shocks | 0.2632 | 0.00 |
β GARCH Volatility persistence | 0.7368 | 0.00 |
| γ1 | -10.3342 | 0.00 |
| γ2 | 13.8377 | 0.00 |
| γ3 | 3.0885 | 0.00 |
| γ4 | -13.2917 | 0.00 |
| γ5 | 8.6014 | 0.00 |
| γ6 | -2.4959 | 0.00 |
| γ7 | 1.0488 | 0.01 |
| γ8 | -0.0978 | 0.00 |
| γ9 | -1.8895 | -0.01 |
| γ10 | 3.1276 | 0.01 |
Persistence:
1.000
Half-life:
77016 days
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