Y S Electronic 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 Wednesday, October 28th, 2026
1 Day
6,381.33
decreased by 2,839.34
1 Week
9,465.51
increased by 244.84
1 Month
6,262.43
decreased by 2,958.24
Analysis last updated: Wednesday, October 28, 2026 at 09:39 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 1, 2013 to Oct 27, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 86643 trading days (~343.8 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 ~86643 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 37.4344 | 0.00 |
| αARCH | 0.3677 | 0.00 |
| βGARCH | 0.6323 | 0.00 |
Spline Coefficients
K=10
| γ1 | -5.3421 | 0.00 |
| γ2 | 4.4365 | 0.00 |
| γ3 | -16.8455 | 0.00 |
| γ4 | 56.3739 | 0.00 |
| γ5 | -64.2695 | 0.00 |
| γ6 | 34.6802 | 0.00 |
| γ7 | -14.3699 | 0.00 |
| γ8 | 11.2909 | 0.00 |
| γ9 | -15.4617 | 0.00 |
| γ10 | 22.8242 | 0.00 |
1.000
Persistence86643d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 37.4344 | 0.00 |
α ARCH Response to squared shocks | 0.3677 | 0.00 |
β GARCH Volatility persistence | 0.6323 | 0.00 |
Spline Coefficients
K=10
| γ1 | -5.3421 | 0.00 |
| γ2 | 4.4365 | 0.00 |
| γ3 | -16.8455 | 0.00 |
| γ4 | 56.3739 | 0.00 |
| γ5 | -64.2695 | 0.00 |
| γ6 | 34.6802 | 0.00 |
| γ7 | -14.3699 | 0.00 |
| γ8 | 11.2909 | 0.00 |
| γ9 | -15.4617 | 0.00 |
| γ10 | 22.8242 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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