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Societe BIC SA Spline ILLIQ Liquidity Analysis

Illiquidity prediction for Monday, October 12th, 2026

1 Day

3,453.34

increased by 169.30

1 Week

3,113.83

decreased by 170.21

1 Month

3,229.54

decreased by 54.50

Analysis last updated: Saturday, October 10, 2026 at 08:44 PM UTC

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Date Range:

from

10/09/2024

to

10/09/2026

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Societe BIC SA ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Jun 28, 1991 to Oct 9, 2026

Model Insight

With persistence 0.998, illiquidity shocks have a half-life of 462 trading days (~1.8 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 0.998, shock half-life ~462 days
ParamValuet-stat
ωconst1.2012
5.89***
αARCH0.0569
8.74***
βGARCH0.9416
127.31***
∑γi Spline Coefficients
K=1
γ1-0.0033
-1.14

0.998

Persistence

462d

Half-life
μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.2012
5.89***
α

ARCH

Response to squared shocks

0.0569
8.74***
β

GARCH

Volatility persistence

0.9416
127.31***
∑γi Spline Coefficients
K=1
γ1-0.0033
-1.14

Persistence:

0.998

Half-life:

462 days