V-Lab
Nichidai 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 Thursday, September 24th, 2026
1 Day
6,656.94
increased by 1,265.50
1 Week
6,024.19
increased by 632.75
1 Month
4,889.69
decreased by 501.75
Analysis last updated: Saturday, September 19, 2026 at 11:34 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Mar 29, 2000 to Sep 18, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 99021 trading days (~392.9 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 ~99021 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9155 | 0.14 |
| αARCH | 0.1562 | 0.00 |
| βGARCH | 0.8438 | 0.02 |
Spline Coefficients
K=7
| γ1 | -1.1168 | -0.07 |
| γ2 | 1.5687 | 0.06 |
| γ3 | -0.7312 | -0.03 |
| γ4 | 0.3628 | 0.01 |
| γ5 | -0.5454 | -0.01 |
| γ6 | 1.4702 | 0.01 |
| γ7 | -1.5534 | -0.01 |
1.000
Persistence99021d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9155 | 0.14 |
α ARCH Response to squared shocks | 0.1562 | 0.00 |
β GARCH Volatility persistence | 0.8438 | 0.02 |
Spline Coefficients
K=7
| γ1 | -1.1168 | -0.07 |
| γ2 | 1.5687 | 0.06 |
| γ3 | -0.7312 | -0.03 |
| γ4 | 0.3628 | 0.01 |
| γ5 | -0.5454 | -0.01 |
| γ6 | 1.4702 | 0.01 |
| γ7 | -1.5534 | -0.01 |
Persistence:
1.000
Half-life:
99021 days
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