CECEP Wind-Power Corp Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Wednesday, October 28th, 2026
1 Day
53.69
increased by 11.59
1 Week
41.33
decreased by 0.77
1 Month
34.70
decreased by 7.40
Analysis last updated: Wednesday, October 28, 2026 at 06:28 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Sep 29, 2014 to Oct 23, 2026Model 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 3 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 | 0.8766 | 5.85*** |
| αARCH | 0.2227 | 8.37*** |
| βGARCH | 0.5799 | 21.09*** |
Spline Coefficients
K=6
| γ1 | -0.0850 | -0.58 |
| γ2 | 0.3243 | 1.63 |
| γ3 | -0.8475 | -8.66*** |
| γ4 | 1.2676 | 16.98*** |
| γ5 | -1.0446 | -13.78*** |
| γ6 | 0.4895 | 3.58*** |
0.803
Persistence3d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8766 | 5.85*** |
α ARCH Response to squared shocks | 0.2227 | 8.37*** |
β GARCH Volatility persistence | 0.5799 | 21.09*** |
Spline Coefficients
K=6
| γ1 | -0.0850 | -0.58 |
| γ2 | 0.3243 | 1.63 |
| γ3 | -0.8475 | -8.66*** |
| γ4 | 1.2676 | 16.98*** |
| γ5 | -1.0446 | -13.78*** |
| γ6 | 0.4895 | 3.58*** |
Persistence:
0.803
Half-life:
3 days
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