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, November 12th, 2026
1 Day
8,752,304.00
1 Week
10,039,841.20
1 Month
7,791,530.30
Analysis last updated: Thursday, November 12, 2026 at 09:39 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 2, 2007 to Nov 6, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 86643 trading days (~343.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
ILLIQ-SMEM Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.9373 | 0.00 |
| αARCH | 0.0811 | 0.00 |
| βGARCH | 0.9189 | 0.00 |
| γ1 | -1.3150 | 0.00 |
| γ2 | -0.1153 | 0.00 |
| γ3 | 1.1422 | 0.00 |
| γ4 | 2.3629 | 0.00 |
| γ5 | -0.9216 | 0.00 |
| γ6 | -6.8553 | 0.00 |
| γ7 | 18.5356 | 0.00 |
| γ8 | -34.1969 | 0.00 |
| γ9 | 37.1809 | 0.00 |
| γ10 | -18.8073 | 0.00 |
1.000
Persistence86643d
Half-lifeILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.9373 | 0.00 |
α ARCH Response to squared shocks | 0.0811 | 0.00 |
β GARCH Volatility persistence | 0.9189 | 0.00 |
| γ1 | -1.3150 | 0.00 |
| γ2 | -0.1153 | 0.00 |
| γ3 | 1.1422 | 0.00 |
| γ4 | 2.3629 | 0.00 |
| γ5 | -0.9216 | 0.00 |
| γ6 | -6.8553 | 0.00 |
| γ7 | 18.5356 | 0.00 |
| γ8 | -34.1969 | 0.00 |
| γ9 | 37.1809 | 0.00 |
| γ10 | -18.8073 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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