V-Lab
Abbott Laboratories Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Tuesday, September 22nd, 2026
1 Day
12.88
decreased by 0.27
1 Week
13.76
increased by 0.61
1 Month
14.24
increased by 1.09
Analysis last updated: Monday, September 21, 2026 at 09:35 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 2, 1990 to Sep 18, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 525 trading days (~2.1 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 0.999, shock half-life ~525 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.0113 | 7.80*** |
| αARCH | 0.0462 | 13.86*** |
| βGARCH | 0.9525 | 284.24*** |
Spline Coefficients
K=1
| γ1 | -0.0013 | -1.40 |
0.999
Persistence525d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0113 | 7.80*** |
α ARCH Response to squared shocks | 0.0462 | 13.86*** |
β GARCH Volatility persistence | 0.9525 | 284.24*** |
Spline Coefficients
K=1
| γ1 | -0.0013 | -1.40 |
Persistence:
0.999
Half-life:
525 days
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