Kedge Construction Co Ltd 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 Tuesday, July 21st, 2026
1 Day
540.03
decreased by 33.42
1 Week
657.57
increased by 84.12
1 Month
639.22
increased by 65.77
Analysis last updated: Tuesday, July 21, 2026 at 07:55 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jun 20, 2001 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 138629 trading days (~550.1 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 | 0.8737 | 0.10 |
α ARCH Response to squared shocks | 0.1706 | 0.02 |
β GARCH Volatility persistence | 0.8294 | 0.10 |
Spline Coefficients
K=1
| γ1 | -0.0287 | -0.04 |
Persistence:
1.000
Half-life:
138629 days
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