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 Tuesday, October 27th, 2026
1 Day
3,248,017.00
increased by 1,069,574.00
1 Week
2,408,109.80
increased by 229,666.80
1 Month
1,386,430.21
decreased by 792,012.79
Analysis last updated: Tuesday, October 27, 2026 at 07:15 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Dec 27, 2011 to Oct 23, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 15753 trading days (~62.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
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High persistence: persistence 1.000, shock half-life ~15753 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1311 | 2.44** |
| αARCH | 0.2204 | 0.18 |
| βGARCH | 0.7796 | 0.65 |
Spline Coefficients
K=9
| γ1 | -7.3564 | -0.11 |
| γ2 | 14.1679 | 0.12 |
| γ3 | -9.2371 | -0.14 |
| γ4 | 1.5295 | 0.08 |
| γ5 | 1.9310 | 1.13 |
| γ6 | -1.5310 | -0.83 |
| γ7 | 1.3046 | 0.61 |
| γ8 | -2.1735 | -1.65* |
| γ9 | 2.4907 | 2.05** |
1.000
Persistence15753d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1311 | 2.44** |
α ARCH Response to squared shocks | 0.2204 | 0.18 |
β GARCH Volatility persistence | 0.7796 | 0.65 |
Spline Coefficients
K=9
| γ1 | -7.3564 | -0.11 |
| γ2 | 14.1679 | 0.12 |
| γ3 | -9.2371 | -0.14 |
| γ4 | 1.5295 | 0.08 |
| γ5 | 1.9310 | 1.13 |
| γ6 | -1.5310 | -0.83 |
| γ7 | 1.3046 | 0.61 |
| γ8 | -2.1735 | -1.65* |
| γ9 | 2.4907 | 2.05** |
Persistence:
1.000
Half-life:
15753 days
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