Also-Actebis Holding Ag 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
5,171.48
increased by 360.97
1 Week
4,692.09
decreased by 118.42
1 Month
4,911.94
increased by 101.43
Analysis last updated: Thursday, October 22, 2026 at 08:48 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Nov 3, 1995 to Oct 16, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 115524 trading days (~458.4 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 ~115524 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.6459 | 0.01 |
| αARCH | 0.0809 | 0.00 |
| βGARCH | 0.9191 | 0.00 |
Spline Coefficients
K=9
| γ1 | 0.4148 | 0.00 |
| γ2 | -0.9727 | 0.00 |
| γ3 | 0.8912 | 0.00 |
| γ4 | -0.5584 | 0.00 |
| γ5 | 0.4005 | 0.00 |
| γ6 | -1.4223 | 0.00 |
| γ7 | 3.0366 | 0.00 |
| γ8 | -2.4681 | 0.00 |
| γ9 | 0.6552 | 0.00 |
1.000
Persistence115524d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6459 | 0.01 |
α ARCH Response to squared shocks | 0.0809 | 0.00 |
β GARCH Volatility persistence | 0.9191 | 0.00 |
Spline Coefficients
K=9
| γ1 | 0.4148 | 0.00 |
| γ2 | -0.9727 | 0.00 |
| γ3 | 0.8912 | 0.00 |
| γ4 | -0.5584 | 0.00 |
| γ5 | 0.4005 | 0.00 |
| γ6 | -1.4223 | 0.00 |
| γ7 | 3.0366 | 0.00 |
| γ8 | -2.4681 | 0.00 |
| γ9 | 0.6552 | 0.00 |
Persistence:
1.000
Half-life:
115524 days
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