Richmond Intl Travel & Tours 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 28th, 2026
1 Day
4,735.87
decreased by 1,204.60
1 Week
5,311.69
decreased by 628.78
1 Month
6,429.75
increased by 489.28
Analysis last updated: Wednesday, October 28, 2026 at 09:34 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Mar 25, 2015 to Oct 27, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 115524 trading days (~458.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
High persistence: persistence 1.000, shock half-life ~115524 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9374 | 0.00 |
| αARCH | 0.3100 | 0.00 |
| βGARCH | 0.6900 | 0.00 |
Spline Coefficients
K=8
| γ1 | -2.3321 | 0.00 |
| γ2 | 2.6773 | 0.00 |
| γ3 | -8.1759 | 0.00 |
| γ4 | 17.4881 | 0.00 |
| γ5 | -13.1255 | 0.00 |
| γ6 | 3.8618 | 0.00 |
| γ7 | -0.0651 | 0.00 |
| γ8 | 0.5548 | 0.00 |
1.000
Persistence115524d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9374 | 0.00 |
α ARCH Response to squared shocks | 0.3100 | 0.00 |
β GARCH Volatility persistence | 0.6900 | 0.00 |
Spline Coefficients
K=8
| γ1 | -2.3321 | 0.00 |
| γ2 | 2.6773 | 0.00 |
| γ3 | -8.1759 | 0.00 |
| γ4 | 17.4881 | 0.00 |
| γ5 | -13.1255 | 0.00 |
| γ6 | 3.8618 | 0.00 |
| γ7 | -0.0651 | 0.00 |
| γ8 | 0.5548 | 0.00 |
Persistence:
1.000
Half-life:
115524 days
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