V-Lab
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 Monday, August 17th, 2026
1 Day
696.76
decreased by 15.85
1 Week
703.13
decreased by 9.48
1 Month
985.79
increased by 273.18
Analysis last updated: Friday, August 14, 2026 at 08:01 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 25, 2003 to Aug 13, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7696 | 0.24 |
α ARCH Response to squared shocks | 0.0746 | 0.04 |
β GARCH Volatility persistence | 0.9254 | 0.44 |
Spline Coefficients
K=9
| γ1 | -2.1334 | -0.03 |
| γ2 | 6.3644 | 0.04 |
| γ3 | -6.0555 | -0.08 |
| γ4 | 1.5437 | 0.02 |
| γ5 | 0.3331 | 0.00 |
| γ6 | -0.3421 | -0.07 |
| γ7 | 0.7766 | 0.09 |
| γ8 | -1.1383 | -0.22 |
| γ9 | 0.8097 | 0.04 |
Persistence:
1.000
Half-life:
115524 days
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