V-Lab
Bank of New York Mellon Corp/The 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, July 27th, 2026
1 Day
23.60
increased by 0.44
1 Week
24.60
increased by 1.44
1 Month
26.65
increased by 3.49
Analysis last updated: Friday, July 24, 2026 at 10:24 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 2, 1990 to Jul 24, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): illiquidity shocks do not decay and the long-run level is undefined, so long-horizon forecasts should be treated with caution.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2580 | |
α ARCH Response to squared shocks | 0.0877 | |
β GARCH Volatility persistence | 0.9123 |
Spline Coefficients
K=3
| γ1 | 0.0217 | |
| γ2 | -0.0193 | |
| γ3 | 0.0117 |
Persistence:
1.000
Half-life:
-
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