CRA International Inc 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
569.74
decreased by 18.42
1 Week
588.67
increased by 0.51
1 Month
660.89
increased by 72.73
Analysis last updated: Friday, October 16, 2026 at 10:00 PM UTC
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How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Apr 24, 1998 to Oct 16, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 138629 trading days (~550.1 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 ~138629 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.4390 | 0.01 |
| αARCH | 0.1068 | 0.00 |
| βGARCH | 0.8932 | 0.00 |
Spline Coefficients
K=9
| γ1 | -1.4854 | 0.00 |
| γ2 | 1.4395 | 0.00 |
| γ3 | 0.5002 | 0.00 |
| γ4 | -0.6029 | 0.00 |
| γ5 | 0.0465 | 0.00 |
| γ6 | 0.1480 | 0.00 |
| γ7 | -0.0362 | 0.00 |
| γ8 | -0.0502 | -0.27 |
| γ9 | -0.0353 | -0.01 |
1.000
Persistence138629d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4390 | 0.01 |
α ARCH Response to squared shocks | 0.1068 | 0.00 |
β GARCH Volatility persistence | 0.8932 | 0.00 |
Spline Coefficients
K=9
| γ1 | -1.4854 | 0.00 |
| γ2 | 1.4395 | 0.00 |
| γ3 | 0.5002 | 0.00 |
| γ4 | -0.6029 | 0.00 |
| γ5 | 0.0465 | 0.00 |
| γ6 | 0.1480 | 0.00 |
| γ7 | -0.0362 | 0.00 |
| γ8 | -0.0502 | -0.27 |
| γ9 | -0.0353 | -0.01 |
Persistence:
1.000
Half-life:
138629 days
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