V-Lab
Potentially AI PLC 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, October 2nd, 2026
1 Day
281,548.30
increased by 1.00
1 Week
293,341.54
increased by 11,794.24
1 Month
389,733.95
increased by 108,186.65
Analysis last updated: Friday, October 2, 2026 at 09:29 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 2, 2007 to Sep 25, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): illiquidity shocks do not decay and the long-run level is undefined, so long-horizon forecasts should be treated with caution.
μ
ILLIQ-SMEM Model
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High persistence: persistence 1.000 ≥ 1, shocks do not decay
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.5285 | |
| αARCH | 0.0000 | |
| βGARCH | 1.0000 |
Spline Coefficients
K=10
| γ1 | -6.4757 | |
| γ2 | 5.9241 | |
| γ3 | 0.2080 | |
| γ4 | 2.4166 | |
| γ5 | -2.5401 | |
| γ6 | -1.0930 | |
| γ7 | 9.0970 | |
| γ8 | -23.6647 | |
| γ9 | 28.3425 | |
| γ10 | -18.8460 |
1.000
Persistence-
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5285 | |
α ARCH Response to squared shocks | 0.0000 | |
β GARCH Volatility persistence | 1.0000 |
Spline Coefficients
K=10
| γ1 | -6.4757 | |
| γ2 | 5.9241 | |
| γ3 | 0.2080 | |
| γ4 | 2.4166 | |
| γ5 | -2.5401 | |
| γ6 | -1.0930 | |
| γ7 | 9.0970 | |
| γ8 | -23.6647 | |
| γ9 | 28.3425 | |
| γ10 | -18.8460 |
Persistence:
1.000
Half-life:
-
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