Bera HF 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 Monday, October 26th, 2026
1 Day
1,067.61
increased by 0.08
1 Week
1,232.78
increased by 165.25
1 Month
2,762.70
increased by 1,695.17
Analysis last updated: Sunday, October 25, 2026 at 03:55 AM UTC
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How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 9, 2022 to Oct 23, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 693147 trading days (~2750.6 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 ~693147 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.5567 | 0.00 |
| αARCH | 0.0000 | 0.00 |
| βGARCH | 1.0000 | 0.00 |
Spline Coefficients
K=8
| γ1 | -20.4637 | 0.00 |
| γ2 | 27.9924 | 0.00 |
| γ3 | -14.0248 | 0.00 |
| γ4 | 12.2992 | 0.00 |
| γ5 | -5.6052 | 0.00 |
| γ6 | -3.9194 | 0.00 |
| γ7 | 14.3214 | 0.00 |
| γ8 | -40.5198 | 0.00 |
1.000
Persistence693147d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5567 | 0.00 |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 1.0000 | 0.00 |
Spline Coefficients
K=8
| γ1 | -20.4637 | 0.00 |
| γ2 | 27.9924 | 0.00 |
| γ3 | -14.0248 | 0.00 |
| γ4 | 12.2992 | 0.00 |
| γ5 | -5.6052 | 0.00 |
| γ6 | -3.9194 | 0.00 |
| γ7 | 14.3214 | 0.00 |
| γ8 | -40.5198 | 0.00 |
Persistence:
1.000
Half-life:
693147 days
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