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 Thursday, September 10th, 2026
1 Day
755.15
decreased by 95.44
1 Week
1,071.54
increased by 220.95
1 Month
1,123.81
increased by 273.22
Analysis last updated: Thursday, September 10, 2026 at 07:27 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
May 8, 2013 to Sep 4, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 138629 trading days (~550.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
High persistence: persistence 1.000, shock half-life ~138629 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.3720 | 0.00 |
| αARCH | 0.2416 | 0.00 |
| βGARCH | 0.7584 | 0.00 |
Spline Coefficients
K=8
| γ1 | -10.8549 | 0.00 |
| γ2 | 15.0087 | 0.00 |
| γ3 | -2.3611 | 0.00 |
| γ4 | -14.9734 | 0.00 |
| γ5 | 33.9323 | 0.00 |
| γ6 | -31.3928 | 0.00 |
| γ7 | 10.1864 | 0.00 |
| γ8 | 1.9076 | 0.00 |
1.000
Persistence138629d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3720 | 0.00 |
α ARCH Response to squared shocks | 0.2416 | 0.00 |
β GARCH Volatility persistence | 0.7584 | 0.00 |
Spline Coefficients
K=8
| γ1 | -10.8549 | 0.00 |
| γ2 | 15.0087 | 0.00 |
| γ3 | -2.3611 | 0.00 |
| γ4 | -14.9734 | 0.00 |
| γ5 | 33.9323 | 0.00 |
| γ6 | -31.3928 | 0.00 |
| γ7 | 10.1864 | 0.00 |
| γ8 | 1.9076 | 0.00 |
Persistence:
1.000
Half-life:
138629 days
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