Coats Group 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 Thursday, October 22nd, 2026
1 Day
5,465.95
decreased by 121.74
1 Week
5,724.28
increased by 136.59
1 Month
5,367.80
decreased by 219.89
Analysis last updated: Thursday, October 22, 2026 at 08:36 PM UTC
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How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Sep 25, 1990 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 | 1.2659 | 0.00 |
| αARCH | 0.1264 | 0.00 |
| βGARCH | 0.8736 | 0.00 |
Spline Coefficients
K=10
| γ1 | 0.5256 | 0.00 |
| γ2 | -1.1824 | 0.00 |
| γ3 | 0.7075 | 0.00 |
| γ4 | 0.4072 | 0.02 |
| γ5 | -1.3123 | -0.04 |
| γ6 | 1.3448 | 0.01 |
| γ7 | -1.5800 | 0.00 |
| γ8 | 2.9964 | 0.00 |
| γ9 | -2.8009 | 0.00 |
| γ10 | 0.9352 | 0.00 |
1.000
Persistence77016d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2659 | 0.00 |
α ARCH Response to squared shocks | 0.1264 | 0.00 |
β GARCH Volatility persistence | 0.8736 | 0.00 |
Spline Coefficients
K=10
| γ1 | 0.5256 | 0.00 |
| γ2 | -1.1824 | 0.00 |
| γ3 | 0.7075 | 0.00 |
| γ4 | 0.4072 | 0.02 |
| γ5 | -1.3123 | -0.04 |
| γ6 | 1.3448 | 0.01 |
| γ7 | -1.5800 | 0.00 |
| γ8 | 2.9964 | 0.00 |
| γ9 | -2.8009 | 0.00 |
| γ10 | 0.9352 | 0.00 |
Persistence:
1.000
Half-life:
77016 days
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