Twi Biotechnology Inc 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, October 20th, 2026
1 Day
16,232.24
increased by 15,925.86
1 Week
3,511.32
increased by 3,204.94
1 Month
1,334.30
increased by 1,027.92
Analysis last updated: Tuesday, October 20, 2026 at 09:46 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Dec 27, 2016 to Oct 16, 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
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High persistence: persistence 1.000, shock half-life ~115524 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.9216 | 0.00 |
| αARCH | 0.2775 | 0.00 |
| βGARCH | 0.7225 | 0.00 |
Spline Coefficients
K=9
| γ1 | -16.9296 | -0.01 |
| γ2 | 27.3820 | 0.00 |
| γ3 | -32.4736 | 0.00 |
| γ4 | 38.4950 | 0.00 |
| γ5 | -11.9552 | 0.00 |
| γ6 | -13.6135 | 0.00 |
| γ7 | 28.3351 | 0.00 |
| γ8 | -37.8506 | 0.00 |
| γ9 | 19.5942 | 0.00 |
1.000
Persistence115524d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.9216 | 0.00 |
α ARCH Response to squared shocks | 0.2775 | 0.00 |
β GARCH Volatility persistence | 0.7225 | 0.00 |
Spline Coefficients
K=9
| γ1 | -16.9296 | -0.01 |
| γ2 | 27.3820 | 0.00 |
| γ3 | -32.4736 | 0.00 |
| γ4 | 38.4950 | 0.00 |
| γ5 | -11.9552 | 0.00 |
| γ6 | -13.6135 | 0.00 |
| γ7 | 28.3351 | 0.00 |
| γ8 | -37.8506 | 0.00 |
| γ9 | 19.5942 | 0.00 |
Persistence:
1.000
Half-life:
115524 days
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