V-Lab
Wacul Inc Spline ILLIQ Liquidity Analysis
Inactive
Last recorded values (Wednesday, July 2nd, 2025):
1 Day
200.55
1 Week
360.20
1 Month
174.74
Analysis last updated: Wednesday, September 2, 2026 at 05:11 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Feb 19, 2021 to Jul 1, 2025Model Insight
This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 30 trading days.
μ
ILLIQ-SMEM Model
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Time-varying baseline: illiquidity reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1526 | 6.11*** |
| αARCH | 0.3212 | 12.61*** |
| βGARCH | 0.6563 | 24.35*** |
Spline Coefficients
K=1
| γ1 | -0.1504 | -1.90* |
0.977
Persistence30d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1526 | 6.11*** |
α ARCH Response to squared shocks | 0.3212 | 12.61*** |
β GARCH Volatility persistence | 0.6563 | 24.35*** |
Spline Coefficients
K=1
| γ1 | -0.1504 | -1.90* |
Persistence:
0.977
Half-life:
30 days
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