Chien Shing Harbour Service Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Thursday, July 9th, 2026
1 Day
7,336.27
increased by 3,835.53
1 Week
3,799.95
increased by 299.21
1 Month
3,220.37
decreased by 280.37
Analysis last updated: Thursday, July 9, 2026 at 08:26 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Sep 6, 2018 to Jul 3, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1715 | 0.48 |
α ARCH Response to squared shocks | 0.1848 | 0.04 |
β GARCH Volatility persistence | 0.8152 | 0.19 |
Spline Coefficients
K=1
| γ1 | -0.1464 | -0.02 |
Persistence:
1.000
Half-life:
86643 days
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