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V-Lab

Value Convergence Holdings Ltd Spline ILLIQ Liquidity Analysis

Illiquidity prediction for Monday, September 21st, 2026

1 Day

12,586.44

increased by 1,129.28

1 Week

17,779.69

increased by 6,322.53

1 Month

33,886.93

increased by 22,429.77

Analysis last updated: Saturday, September 19, 2026 at 09:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Value Convergence Holdings Ltd ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Aug 15, 2008 to Sep 18, 2026

Model Insight

With persistence 0.991, illiquidity shocks have a half-life of 74 trading days (~0.3 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 0.991, shock half-life ~74 days
ParamValuet-stat
ωconst20.6522
4.07***
αARCH0.2142
6.19***
βGARCH0.7764
24.05***
γi Spline Coefficients
K=10
γ1-0.5416
-0.75
γ22.4003
1.63
γ3-2.6664
-1.91*
γ40.5104
0.56
γ51.0234
1.21
γ6-1.1046
-1.58
γ71.0409
1.58
γ8-0.9473
-1.15
γ90.7263
0.71
γ10-5.9962
-2.00**

0.991

Persistence

74d

Half-life
μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

20.6522
4.07***
α

ARCH

Response to squared shocks

0.2142
6.19***
β

GARCH

Volatility persistence

0.7764
24.05***
γi Spline Coefficients
K=10
γ1-0.5416
-0.75
γ22.4003
1.63
γ3-2.6664
-1.91*
γ40.5104
0.56
γ51.0234
1.21
γ6-1.1046
-1.58
γ71.0409
1.58
γ8-0.9473
-1.15
γ90.7263
0.71
γ10-5.9962
-2.00**

Persistence:

0.991

Half-life:

74 days