Amedeo Air Four Plus Limited Spline ILLIQ Liquidity Analysis
Inactive
Last recorded values (Thursday, June 25th, 2026):
1 Day
22,600.44
1 Week
23,927.30
1 Month
13,144.98
Analysis last updated: Wednesday, September 2, 2026 at 04:16 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
May 12, 2015 to Jun 24, 2026Model Insight
With persistence 0.997, illiquidity shocks have a half-life of 234 trading days (~0.9 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 0.997, shock half-life ~234 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.4711 | 1.79* |
| αARCH | 0.1474 | 3.61*** |
| βGARCH | 0.8496 | 21.10*** |
Spline Coefficients
K=9
| γ1 | 1.3709 | 0.58 |
| γ2 | -2.5709 | -0.67 |
| γ3 | 2.5287 | 1.13 |
| γ4 | -2.1695 | -1.45 |
| γ5 | 3.8829 | 1.37 |
| γ6 | -11.7755 | -2.12** |
| γ7 | 18.0291 | 2.49** |
| γ8 | -13.9848 | -2.55** |
| γ9 | 6.8687 | 2.61*** |
0.997
Persistence234d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4711 | 1.79* |
α ARCH Response to squared shocks | 0.1474 | 3.61*** |
β GARCH Volatility persistence | 0.8496 | 21.10*** |
Spline Coefficients
K=9
| γ1 | 1.3709 | 0.58 |
| γ2 | -2.5709 | -0.67 |
| γ3 | 2.5287 | 1.13 |
| γ4 | -2.1695 | -1.45 |
| γ5 | 3.8829 | 1.37 |
| γ6 | -11.7755 | -2.12** |
| γ7 | 18.0291 | 2.49** |
| γ8 | -13.9848 | -2.55** |
| γ9 | 6.8687 | 2.61*** |
Persistence:
0.997
Half-life:
234 days
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