V-Lab
Aerpace Industries 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 Monday, September 7th, 2026
1 Day
12,307.65
increased by 6,816.23
1 Week
4,608.52
decreased by 882.90
1 Month
2,610.05
decreased by 2,881.37
Analysis last updated: Saturday, September 5, 2026 at 09:02 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Feb 10, 2014 to Sep 4, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 138629 trading days (~550.1 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 1.000, shock half-life ~138629 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.3027 | 0.00 |
| αARCH | 0.3826 | 0.00 |
| βGARCH | 0.6174 | 0.00 |
Spline Coefficients
K=7
| γ1 | -12.2652 | 0.00 |
| γ2 | 3.3851 | 0.00 |
| γ3 | 19.6426 | 0.00 |
| γ4 | -14.5774 | -0.02 |
| γ5 | 3.3344 | 0.00 |
| γ6 | 3.1567 | 0.00 |
| γ7 | -4.9816 | 0.00 |
1.000
Persistence138629d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3027 | 0.00 |
α ARCH Response to squared shocks | 0.3826 | 0.00 |
β GARCH Volatility persistence | 0.6174 | 0.00 |
Spline Coefficients
K=7
| γ1 | -12.2652 | 0.00 |
| γ2 | 3.3851 | 0.00 |
| γ3 | 19.6426 | 0.00 |
| γ4 | -14.5774 | -0.02 |
| γ5 | 3.3344 | 0.00 |
| γ6 | 3.1567 | 0.00 |
| γ7 | -4.9816 | 0.00 |
Persistence:
1.000
Half-life:
138629 days
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