Biafo Industries 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 Friday, November 13th, 2026
1 Day
5,204.59
decreased by 677.99
1 Week
5,856.73
decreased by 25.85
1 Month
4,684.09
decreased by 1,198.49
Analysis last updated: Friday, November 13, 2026 at 09:36 PM UTC
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How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 25, 2003 to Nov 6, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 115524 trading days (~458.4 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 ~115524 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.6714 | 0.00 |
| αARCH | 0.1315 | 0.00 |
| βGARCH | 0.8685 | 0.00 |
Spline Coefficients
K=5
| γ1 | 0.5406 | 0.00 |
| γ2 | -2.1187 | 0.00 |
| γ3 | 3.4428 | 0.00 |
| γ4 | -2.8233 | 0.00 |
| γ5 | 1.0708 | 0.00 |
1.000
Persistence115524d
Half-lifeμ
ILLIQ-SMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6714 | 0.00 |
α ARCH Response to squared shocks | 0.1315 | 0.00 |
β GARCH Volatility persistence | 0.8685 | 0.00 |
Spline Coefficients
K=5
| γ1 | 0.5406 | 0.00 |
| γ2 | -2.1187 | 0.00 |
| γ3 | 3.4428 | 0.00 |
| γ4 | -2.8233 | 0.00 |
| γ5 | 1.0708 | 0.00 |
Persistence:
1.000
Half-life:
115524 days
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