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 Wednesday, September 30th, 2026
1 Day
3,909.31
increased by 72.57
1 Week
3,195.50
decreased by 641.24
1 Month
1,949.66
decreased by 1,887.08
Analysis last updated: Wednesday, September 30, 2026 at 07:20 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
May 8, 2013 to Sep 25, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 99021 trading days (~392.9 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 ~99021 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.2122 | 0.01 |
| αARCH | 0.2518 | 0.00 |
| βGARCH | 0.7482 | 0.00 |
Spline Coefficients
K=7
| γ1 | -12.9986 | 0.00 |
| γ2 | 22.9734 | 0.00 |
| γ3 | -15.3141 | 0.00 |
| γ4 | 1.6550 | 0.00 |
| γ5 | 14.9887 | 0.00 |
| γ6 | -22.2278 | 0.00 |
| γ7 | 20.5616 | 0.00 |
1.000
Persistence99021d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2122 | 0.01 |
α ARCH Response to squared shocks | 0.2518 | 0.00 |
β GARCH Volatility persistence | 0.7482 | 0.00 |
Spline Coefficients
K=7
| γ1 | -12.9986 | 0.00 |
| γ2 | 22.9734 | 0.00 |
| γ3 | -15.3141 | 0.00 |
| γ4 | 1.6550 | 0.00 |
| γ5 | 14.9887 | 0.00 |
| γ6 | -22.2278 | 0.00 |
| γ7 | 20.5616 | 0.00 |
Persistence:
1.000
Half-life:
99021 days
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