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, October 21st, 2026
1 Day
2,187.59
increased by 876.47
1 Week
1,595.71
increased by 284.59
1 Month
1,743.27
increased by 432.15
Analysis last updated: Tuesday, October 20, 2026 at 07:21 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 Oct 19, 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 | 6.7531 | 0.00 |
| αARCH | 0.2509 | 0.00 |
| βGARCH | 0.7491 | 0.00 |
Spline Coefficients
K=9
| γ1 | -3.9040 | -0.23 |
| γ2 | 1.6616 | 0.00 |
| γ3 | 11.4537 | 0.01 |
| γ4 | -22.4729 | -0.01 |
| γ5 | 14.6760 | 0.00 |
| γ6 | 17.0304 | 0.00 |
| γ7 | -32.2775 | 0.00 |
| γ8 | 14.6012 | 0.00 |
| γ9 | 0.2875 | 0.00 |
1.000
Persistence77016d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6.7531 | 0.00 |
α ARCH Response to squared shocks | 0.2509 | 0.00 |
β GARCH Volatility persistence | 0.7491 | 0.00 |
Spline Coefficients
K=9
| γ1 | -3.9040 | -0.23 |
| γ2 | 1.6616 | 0.00 |
| γ3 | 11.4537 | 0.01 |
| γ4 | -22.4729 | -0.01 |
| γ5 | 14.6760 | 0.00 |
| γ6 | 17.0304 | 0.00 |
| γ7 | -32.2775 | 0.00 |
| γ8 | 14.6012 | 0.00 |
| γ9 | 0.2875 | 0.00 |
Persistence:
1.000
Half-life:
77016 days
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