V-Lab
Aqualis ASA 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
15,228.65
decreased by 860.12
1 Week
17,990.43
increased by 1,901.66
1 Month
18,442.92
increased by 2,354.15
Analysis last updated: Sunday, August 23, 2026 at 01:23 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Aug 13, 2014 to Aug 21, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 32.4196 | 0.00 |
α ARCH Response to squared shocks | 0.2790 | 0.00 |
β GARCH Volatility persistence | 0.7210 | 0.00 |
Spline Coefficients
K=10
| γ1 | -5.8947 | 0.00 |
| γ2 | 9.9434 | 0.00 |
| γ3 | -7.8858 | 0.00 |
| γ4 | 8.6424 | 0.00 |
| γ5 | -18.2352 | 0.00 |
| γ6 | 33.1516 | 0.00 |
| γ7 | -34.9751 | 0.00 |
| γ8 | 24.9059 | 0.00 |
| γ9 | -14.6071 | 0.00 |
| γ10 | 6.6968 | 0.00 |
Persistence:
1.000
Half-life:
115524 days
Other Aqualis ASA Analyses
Other Spline ILLIQ Analyses on International Equities