V-Lab
Ashika Global Securities 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 Friday, August 21st, 2026
1 Day
1,210.23
decreased by 15.90
1 Week
1,185.72
decreased by 40.41
1 Month
470.35
decreased by 755.78
Analysis last updated: Friday, August 21, 2026 at 07:07 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
May 8, 2013 to Aug 14, 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 | 7.8850 | 0.00 |
α ARCH Response to squared shocks | 0.2470 | 0.00 |
β GARCH Volatility persistence | 0.7530 | 0.00 |
Spline Coefficients
K=9
| γ1 | -3.4666 | 0.00 |
| γ2 | 3.8310 | 0.00 |
| γ3 | 1.2185 | 0.00 |
| γ4 | -2.9986 | 0.00 |
| γ5 | -9.0631 | 0.00 |
| γ6 | 33.6996 | 0.00 |
| γ7 | -37.6772 | 0.00 |
| γ8 | 16.1834 | 0.00 |
| γ9 | -2.2714 | 0.00 |
Persistence:
1.000
Half-life:
115524 days
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