Aedas Homes Sau Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Friday, October 23rd, 2026
1 Day
211,824.00
decreased by 4,993.60
1 Week
251,535.36
increased by 34,717.76
1 Month
144,235.56
decreased by 72,582.04
Analysis last updated: Friday, October 23, 2026 at 08:35 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 20, 2017 to Oct 16, 2026Model Insight
With persistence 0.995, illiquidity shocks have a half-life of 149 trading days (~0.6 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 0.995, shock half-life ~149 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1576 | 5.21*** |
| αARCH | 0.1242 | 6.24*** |
| βGARCH | 0.8712 | 41.13*** |
Spline Coefficients
K=1
| γ1 | -0.0588 | -2.09** |
0.995
Persistence149d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1576 | 5.21*** |
α ARCH Response to squared shocks | 0.1242 | 6.24*** |
β GARCH Volatility persistence | 0.8712 | 41.13*** |
Spline Coefficients
K=1
| γ1 | -0.0588 | -2.09** |
Persistence:
0.995
Half-life:
149 days
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