Axtel Inds Ltd 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 Wednesday, July 8th, 2026
1 Day
5,221.65
decreased by 916.93
1 Week
5,623.28
decreased by 515.30
1 Month
6,708.89
increased by 570.31
Analysis last updated: Wednesday, July 8, 2026 at 08:45 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Oct 27, 2009 to Jul 3, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 77016 trading days (~305.6 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 | 0.4037 | 0.00 |
α ARCH Response to squared shocks | 0.2033 | 0.00 |
β GARCH Volatility persistence | 0.7967 | 0.00 |
Spline Coefficients
K=8
| γ1 | -3.2237 | 0.00 |
| γ2 | 3.3569 | 0.00 |
| γ3 | -2.2304 | -0.01 |
| γ4 | 6.0443 | 0.01 |
| γ5 | -8.3053 | -0.01 |
| γ6 | 7.7846 | 0.00 |
| γ7 | -3.8046 | 0.00 |
| γ8 | -0.4999 | 0.00 |
Persistence:
1.000
Half-life:
77016 days
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