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
Illiquidity prediction for Monday, October 19th, 2026
1 Day
23,535.97
increased by 500.10
1 Week
17,013.19
decreased by 6,022.68
1 Month
13,833.15
decreased by 9,202.72
Analysis last updated: Sunday, October 18, 2026 at 02:24 AM UTC
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How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 22, 2010 to Oct 16, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 77016 trading days (~305.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
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High persistence: persistence 1.000, shock half-life ~77016 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1899 | 0.07 |
| αARCH | 0.2190 | 0.00 |
| βGARCH | 0.7810 | 0.00 |
Spline Coefficients
K=10
| γ1 | 2.7773 | 0.00 |
| γ2 | -5.6039 | 0.00 |
| γ3 | -0.8822 | 0.00 |
| γ4 | 10.1895 | 0.01 |
| γ5 | -8.7258 | -0.01 |
| γ6 | 0.6680 | 0.00 |
| γ7 | 2.9309 | 0.01 |
| γ8 | -1.4685 | 0.00 |
| γ9 | -0.2381 | 0.00 |
| γ10 | 1.8104 | 0.00 |
1.000
Persistence77016d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1899 | 0.07 |
α ARCH Response to squared shocks | 0.2190 | 0.00 |
β GARCH Volatility persistence | 0.7810 | 0.00 |
Spline Coefficients
K=10
| γ1 | 2.7773 | 0.00 |
| γ2 | -5.6039 | 0.00 |
| γ3 | -0.8822 | 0.00 |
| γ4 | 10.1895 | 0.01 |
| γ5 | -8.7258 | -0.01 |
| γ6 | 0.6680 | 0.00 |
| γ7 | 2.9309 | 0.01 |
| γ8 | -1.4685 | 0.00 |
| γ9 | -0.2381 | 0.00 |
| γ10 | 1.8104 | 0.00 |
Persistence:
1.000
Half-life:
77016 days
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