Bai-Kakaji Polymers Ltd Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Friday, July 17th, 2026
1 Day
1,645.94
unchanged at 0.00
1 Week
1,822.35
increased by 176.41
1 Month
3,513.70
increased by 1,867.76
Analysis last updated: Friday, July 17, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 31, 2025 to Jul 10, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 346573 trading days (~1375.3 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 | 0.8526 | 0.00 |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 1.0000 | 0.00 |
Spline Coefficients
K=1
| γ1 | -32.3976 | 0.00 |
Persistence:
1.000
Half-life:
346573 days
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