V-Lab
Cellavision AB 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
4,221.15
decreased by 318.84
1 Week
4,771.15
increased by 231.16
1 Month
5,766.79
increased by 1,226.80
Analysis last updated: Sunday, August 16, 2026 at 01:41 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
May 28, 2007 to Aug 14, 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 | 0.9320 | 0.25 |
α ARCH Response to squared shocks | 0.0984 | 0.03 |
β GARCH Volatility persistence | 0.9016 | 0.28 |
Spline Coefficients
K=6
| γ1 | -0.4392 | -0.01 |
| γ2 | 0.0074 | 0.00 |
| γ3 | 0.7571 | 0.25 |
| γ4 | -0.3018 | -0.05 |
| γ5 | 0.0085 | 0.00 |
| γ6 | -0.2366 | -0.03 |
Persistence:
1.000
Half-life:
115524 days
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