Tsi Co., 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 Friday, November 13th, 2026
1 Day
369.42
decreased by 13.36
1 Week
400.40
increased by 17.62
1 Month
298.97
decreased by 83.81
Analysis last updated: Friday, November 13, 2026 at 09:26 PM UTC
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How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 30, 2017 to Nov 6, 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
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High persistence: persistence 1.000, shock half-life ~115524 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.5067 | 0.01 |
| αARCH | 0.2008 | 0.00 |
| βGARCH | 0.7992 | 0.00 |
Spline Coefficients
K=10
| γ1 | 11.8026 | 0.00 |
| γ2 | -50.0165 | 0.00 |
| γ3 | 72.3739 | 0.00 |
| γ4 | -40.3115 | 0.00 |
| γ5 | 6.7479 | 0.01 |
| γ6 | -0.8329 | 0.00 |
| γ7 | -1.0449 | 0.00 |
| γ8 | 0.0424 | 0.00 |
| γ9 | 1.2805 | 0.00 |
| γ10 | 4.4251 | 0.02 |
1.000
Persistence115524d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.5067 | 0.01 |
α ARCH Response to squared shocks | 0.2008 | 0.00 |
β GARCH Volatility persistence | 0.7992 | 0.00 |
Spline Coefficients
K=10
| γ1 | 11.8026 | 0.00 |
| γ2 | -50.0165 | 0.00 |
| γ3 | 72.3739 | 0.00 |
| γ4 | -40.3115 | 0.00 |
| γ5 | 6.7479 | 0.01 |
| γ6 | -0.8329 | 0.00 |
| γ7 | -1.0449 | 0.00 |
| γ8 | 0.0424 | 0.00 |
| γ9 | 1.2805 | 0.00 |
| γ10 | 4.4251 | 0.02 |
Persistence:
1.000
Half-life:
115524 days
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