V-Lab
DL Holdings Group Ltd 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 Wednesday, October 7th, 2026
1 Day
8,471.81
increased by 1,136.67
1 Week
8,771.22
increased by 1,436.08
1 Month
7,823.47
increased by 488.33
Analysis last updated: Wednesday, October 7, 2026 at 06:53 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 7, 2015 to Oct 2, 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.
μ
ILLIQ-SMEM Model
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High persistence: persistence 1.000, shock half-life ~77016 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8838 | 0.01 |
| αARCH | 0.2672 | 0.00 |
| βGARCH | 0.7328 | 0.00 |
Spline Coefficients
K=10
| γ1 | -6.2652 | -0.03 |
| γ2 | 23.4462 | 0.01 |
| γ3 | -29.1299 | 0.00 |
| γ4 | 13.6331 | 0.00 |
| γ5 | -9.0657 | 0.00 |
| γ6 | 18.9512 | 0.00 |
| γ7 | -16.2071 | 0.00 |
| γ8 | 3.7487 | 0.00 |
| γ9 | 0.8189 | 0.00 |
| γ10 | 4.1309 | 0.00 |
1.000
Persistence77016d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8838 | 0.01 |
α ARCH Response to squared shocks | 0.2672 | 0.00 |
β GARCH Volatility persistence | 0.7328 | 0.00 |
Spline Coefficients
K=10
| γ1 | -6.2652 | -0.03 |
| γ2 | 23.4462 | 0.01 |
| γ3 | -29.1299 | 0.00 |
| γ4 | 13.6331 | 0.00 |
| γ5 | -9.0657 | 0.00 |
| γ6 | 18.9512 | 0.00 |
| γ7 | -16.2071 | 0.00 |
| γ8 | 3.7487 | 0.00 |
| γ9 | 0.8189 | 0.00 |
| γ10 | 4.1309 | 0.00 |
Persistence:
1.000
Half-life:
77016 days
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