First Capital Holdings Plc Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Wednesday, July 8th, 2026
1 Day
9,534.85
decreased by 1,360.58
1 Week
12,871.22
increased by 1,975.79
1 Month
11,872.92
increased by 977.49
Analysis last updated: Wednesday, July 8, 2026 at 11:12 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 22, 2010 to Jul 3, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 86643 trading days (~343.8 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 | 0.6723 | 0.00 |
α ARCH Response to squared shocks | 0.2150 | 0.00 |
β GARCH Volatility persistence | 0.7850 | 0.00 |
Spline Coefficients
K=8
| γ1 | 2.0750 | 0.00 |
| γ2 | -5.5014 | 0.00 |
| γ3 | 5.0518 | 0.01 |
| γ4 | -1.4612 | -0.01 |
| γ5 | -1.3663 | -0.01 |
| γ6 | 2.4156 | 0.00 |
| γ7 | -1.6506 | 0.00 |
| γ8 | 0.5549 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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