Arif Habib 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 Thursday, October 29th, 2026
1 Day
13,284.56
increased by 10,103.83
1 Week
5,224.16
increased by 2,043.43
1 Month
3,139.33
decreased by 41.40
Analysis last updated: Thursday, October 29, 2026 at 11:53 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Feb 14, 2007 to Oct 23, 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 | 0.2271 | 0.01 |
| αARCH | 0.2656 | 0.00 |
| βGARCH | 0.7344 | 0.00 |
Spline Coefficients
K=9
| γ1 | -3.6709 | -0.01 |
| γ2 | 5.0552 | 0.01 |
| γ3 | -1.9525 | -0.01 |
| γ4 | 0.5144 | 0.00 |
| γ5 | 0.6423 | 0.00 |
| γ6 | -1.4174 | -0.06 |
| γ7 | 1.5493 | 0.05 |
| γ8 | -1.4944 | -0.08 |
| γ9 | 1.4557 | 0.01 |
1.000
Persistence77016d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2271 | 0.01 |
α ARCH Response to squared shocks | 0.2656 | 0.00 |
β GARCH Volatility persistence | 0.7344 | 0.00 |
Spline Coefficients
K=9
| γ1 | -3.6709 | -0.01 |
| γ2 | 5.0552 | 0.01 |
| γ3 | -1.9525 | -0.01 |
| γ4 | 0.5144 | 0.00 |
| γ5 | 0.6423 | 0.00 |
| γ6 | -1.4174 | -0.06 |
| γ7 | 1.5493 | 0.05 |
| γ8 | -1.4944 | -0.08 |
| γ9 | 1.4557 | 0.01 |
Persistence:
1.000
Half-life:
77016 days
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