V-Lab
3M India 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, September 18th, 2026
1 Day
160.20
increased by 23.51
1 Week
136.35
decreased by 0.34
1 Month
94.89
decreased by 41.80
Analysis last updated: Friday, September 18, 2026 at 07:35 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 26, 1997 to Sep 11, 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
High persistence: persistence 1.000, shock half-life ~138629 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1698 | 0.01 |
| αARCH | 0.1601 | 0.00 |
| βGARCH | 0.8399 | 0.00 |
Spline Coefficients
K=7
| γ1 | -0.5881 | 0.00 |
| γ2 | 0.4842 | 0.00 |
| γ3 | 0.3418 | 0.00 |
| γ4 | -0.4226 | 0.00 |
| γ5 | 0.2257 | 0.00 |
| γ6 | 0.0042 | 0.00 |
| γ7 | -0.0708 | 0.00 |
1.000
Persistence138629d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1698 | 0.01 |
α ARCH Response to squared shocks | 0.1601 | 0.00 |
β GARCH Volatility persistence | 0.8399 | 0.00 |
Spline Coefficients
K=7
| γ1 | -0.5881 | 0.00 |
| γ2 | 0.4842 | 0.00 |
| γ3 | 0.3418 | 0.00 |
| γ4 | -0.4226 | 0.00 |
| γ5 | 0.2257 | 0.00 |
| γ6 | 0.0042 | 0.00 |
| γ7 | -0.0708 | 0.00 |
Persistence:
1.000
Half-life:
138629 days
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