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 Thursday, October 22nd, 2026
1 Day
1,033,709.00
decreased by 84,322.00
1 Week
1,097,497.60
decreased by 20,533.40
1 Month
920,135.28
decreased by 197,895.72
Analysis last updated: Thursday, October 22, 2026 at 08:38 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 Oct 16, 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
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High persistence: persistence 1.000, shock half-life ~77016 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.8995 | 0.00 |
| αARCH | 0.0798 | 0.00 |
| βGARCH | 0.9202 | 0.00 |
Spline Coefficients
K=10
| γ1 | -3.5335 | 0.00 |
| γ2 | 2.6597 | 0.00 |
| γ3 | 0.1625 | 0.00 |
| γ4 | 3.1103 | 0.00 |
| γ5 | -1.4706 | 0.00 |
| γ6 | -6.3184 | 0.00 |
| γ7 | 17.8237 | 0.00 |
| γ8 | -32.5869 | 0.00 |
| γ9 | 35.4499 | 0.01 |
| γ10 | -24.9801 | 0.00 |
1.000
Persistence77016d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.8995 | 0.00 |
α ARCH Response to squared shocks | 0.0798 | 0.00 |
β GARCH Volatility persistence | 0.9202 | 0.00 |
Spline Coefficients
K=10
| γ1 | -3.5335 | 0.00 |
| γ2 | 2.6597 | 0.00 |
| γ3 | 0.1625 | 0.00 |
| γ4 | 3.1103 | 0.00 |
| γ5 | -1.4706 | 0.00 |
| γ6 | -6.3184 | 0.00 |
| γ7 | 17.8237 | 0.00 |
| γ8 | -32.5869 | 0.00 |
| γ9 | 35.4499 | 0.01 |
| γ10 | -24.9801 | 0.00 |
Persistence:
1.000
Half-life:
77016 days
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