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 Monday, August 24th, 2026
1 Day
165,720.60
increased by 20.20
1 Week
172,354.36
increased by 6,653.96
1 Month
222,748.81
increased by 57,048.41
Analysis last updated: Sunday, August 23, 2026 at 02:55 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 2, 2007 to Aug 21, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5104 | |
α ARCH Response to squared shocks | 0.0000 | |
β GARCH Volatility persistence | 1.0000 |
Spline Coefficients
K=10
| γ1 | -6.8142 | |
| γ2 | 6.4358 | |
| γ3 | -0.1491 | |
| γ4 | 2.6880 | |
| γ5 | -2.5455 | |
| γ6 | -1.3976 | |
| γ7 | 10.1442 | |
| γ8 | -25.4765 | |
| γ9 | 29.2519 | |
| γ10 | -18.2432 |
Persistence:
1.000
Half-life:
-
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