V-Lab
Bpl 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 Tuesday, September 8th, 2026
1 Day
6,341.46
increased by 1,002.06
1 Week
7,098.67
increased by 1,759.27
1 Month
6,498.21
increased by 1,158.81
Analysis last updated: Tuesday, September 8, 2026 at 08:31 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 26, 1997 to Sep 4, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 49510 trading days (~196.5 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 1.000, shock half-life ~49510 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.8095 | 0.00 |
| αARCH | 0.3068 | 0.00 |
| βGARCH | 0.6931 | 0.01 |
Spline Coefficients
K=9
| γ1 | -6.4712 | -0.01 |
| γ2 | 12.2630 | 0.01 |
| γ3 | -4.0634 | -0.01 |
| γ4 | -6.6904 | -0.01 |
| γ5 | 7.9113 | 0.01 |
| γ6 | -4.0070 | -0.01 |
| γ7 | 1.1632 | 0.01 |
| γ8 | -0.3400 | -0.01 |
| γ9 | 0.6302 | 0.03 |
1.000
Persistence49510d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.8095 | 0.00 |
α ARCH Response to squared shocks | 0.3068 | 0.00 |
β GARCH Volatility persistence | 0.6931 | 0.01 |
Spline Coefficients
K=9
| γ1 | -6.4712 | -0.01 |
| γ2 | 12.2630 | 0.01 |
| γ3 | -4.0634 | -0.01 |
| γ4 | -6.6904 | -0.01 |
| γ5 | 7.9113 | 0.01 |
| γ6 | -4.0070 | -0.01 |
| γ7 | 1.1632 | 0.01 |
| γ8 | -0.3400 | -0.01 |
| γ9 | 0.6302 | 0.03 |
Persistence:
1.000
Half-life:
49510 days
Other Bpl Ltd Analyses
Other Spline ILLIQ Analyses on International Equities