V-Lab
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, September 7th, 2026
1 Day
11,772.35
decreased by 1,382.47
1 Week
9,751.50
decreased by 3,403.32
1 Month
9,008.63
decreased by 4,146.19
Analysis last updated: Sunday, September 6, 2026 at 01:34 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 22, 2010 to Sep 4, 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
Tap to view equation
High persistence: persistence 1.000, shock half-life ~77016 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.3514 | 0.00 |
| αARCH | 0.2284 | 0.00 |
| βGARCH | 0.7716 | 0.00 |
Spline Coefficients
K=9
| γ1 | 2.3810 | 0.00 |
| γ2 | -5.3807 | 0.00 |
| γ3 | -1.3714 | 0.00 |
| γ4 | 14.7161 | 0.00 |
| γ5 | -16.7791 | 0.00 |
| γ6 | 7.6760 | 0.00 |
| γ7 | -1.5965 | 0.00 |
| γ8 | 0.5571 | 0.00 |
| γ9 | 0.4115 | 0.00 |
1.000
Persistence77016d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3514 | 0.00 |
α ARCH Response to squared shocks | 0.2284 | 0.00 |
β GARCH Volatility persistence | 0.7716 | 0.00 |
Spline Coefficients
K=9
| γ1 | 2.3810 | 0.00 |
| γ2 | -5.3807 | 0.00 |
| γ3 | -1.3714 | 0.00 |
| γ4 | 14.7161 | 0.00 |
| γ5 | -16.7791 | 0.00 |
| γ6 | 7.6760 | 0.00 |
| γ7 | -1.5965 | 0.00 |
| γ8 | 0.5571 | 0.00 |
| γ9 | 0.4115 | 0.00 |
Persistence:
1.000
Half-life:
77016 days
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