Cherat Papersack Ltd 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 Thursday, July 9th, 2026
1 Day
5,689.67
increased by 1,563.99
1 Week
5,264.44
increased by 1,138.76
1 Month
4,479.29
increased by 353.61
Analysis last updated: Thursday, July 9, 2026 at 08:04 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Sep 10, 2001 to Jul 3, 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
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.6762 | 0.01 |
α ARCH Response to squared shocks | 0.2057 | 0.00 |
β GARCH Volatility persistence | 0.7943 | 0.00 |
Spline Coefficients
K=8
| γ1 | -1.8250 | -0.06 |
| γ2 | 6.8957 | 0.08 |
| γ3 | -12.0413 | 0.00 |
| γ4 | 13.3901 | 0.00 |
| γ5 | -9.6252 | 0.00 |
| γ6 | 4.1370 | 0.00 |
| γ7 | -1.4070 | -0.02 |
| γ8 | -0.2051 | -0.02 |
Persistence:
1.000
Half-life:
77016 days
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