V-Lab
Axis Corp 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 Tuesday, July 28th, 2026
1 Day
6,790.41
increased by 2,478.13
1 Week
4,063.94
decreased by 248.34
1 Month
2,702.81
decreased by 1,609.47
Analysis last updated: Tuesday, July 28, 2026 at 08:53 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
May 9, 2005 to Jul 24, 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
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8338 | 0.00 |
α ARCH Response to squared shocks | 0.1709 | 0.00 |
β GARCH Volatility persistence | 0.8291 | 0.00 |
Spline Coefficients
K=9
| γ1 | 1.2301 | 0.00 |
| γ2 | -4.0767 | -0.01 |
| γ3 | 6.0711 | 0.00 |
| γ4 | -6.2625 | 0.00 |
| γ5 | 5.6617 | 0.00 |
| γ6 | -4.2959 | 0.00 |
| γ7 | 2.3949 | 0.00 |
| γ8 | -1.2998 | 0.00 |
| γ9 | 1.4429 | 0.00 |
Persistence:
1.000
Half-life:
115524 days
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