V-Lab
Access Engineering Ltd Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Friday, July 24th, 2026
1 Day
3,040.61
increased by 466.75
1 Week
1,875.52
decreased by 698.34
1 Month
1,156.09
decreased by 1,417.77
Analysis last updated: Friday, July 24, 2026 at 08:11 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Mar 27, 2012 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 115524 trading days (~458.4 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 | 4.6989 | 0.00 |
α ARCH Response to squared shocks | 0.2495 | 0.00 |
β GARCH Volatility persistence | 0.7505 | 0.00 |
Spline Coefficients
K=10
| γ1 | -0.8591 | 0.00 |
| γ2 | -0.2991 | 0.00 |
| γ3 | 1.4212 | 0.00 |
| γ4 | 1.1895 | 0.00 |
| γ5 | -4.1041 | -0.01 |
| γ6 | 4.4746 | 0.01 |
| γ7 | -1.7273 | -0.01 |
| γ8 | -0.3601 | 0.00 |
| γ9 | -1.1327 | 0.00 |
| γ10 | 4.5708 | 0.01 |
Persistence:
1.000
Half-life:
115524 days
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