Carasso Motors 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 Sunday, July 12th, 2026
1 Day
4,745.74
increased by 817.85
1 Week
4,081.73
increased by 153.84
1 Month
5,271.10
increased by 1,343.21
Analysis last updated: Saturday, July 11, 2026 at 10:13 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jun 22, 2011 to Jul 10, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6021 | 0.02 |
α ARCH Response to squared shocks | 0.1172 | 0.00 |
β GARCH Volatility persistence | 0.8828 | 0.01 |
Spline Coefficients
K=4
| γ1 | -1.4286 | -0.01 |
| γ2 | 1.7932 | 0.01 |
| γ3 | -0.4214 | 0.00 |
| γ4 | -0.0505 | 0.00 |
Persistence:
1.000
Half-life:
138629 days
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