V-Lab
Chesnara 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 28th, 2026
1 Day
5,933.98
decreased by 636.91
1 Week
6,595.79
increased by 24.90
1 Month
5,448.63
decreased by 1,122.26
Analysis last updated: Saturday, September 26, 2026 at 11:02 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
May 19, 2004 to Sep 25, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 86643 trading days (~343.8 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 ~86643 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1237 | 0.00 |
| αARCH | 0.1786 | 0.00 |
| βGARCH | 0.8214 | 0.00 |
Spline Coefficients
K=10
| γ1 | 0.5896 | 0.00 |
| γ2 | -0.6442 | 0.00 |
| γ3 | -4.2662 | 0.00 |
| γ4 | 9.8915 | 0.00 |
| γ5 | -6.3039 | 0.00 |
| γ6 | -0.2468 | 0.00 |
| γ7 | 0.7892 | 0.00 |
| γ8 | 0.2749 | 0.00 |
| γ9 | -0.1615 | 0.00 |
| γ10 | 0.0505 | 0.00 |
1.000
Persistence86643d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1237 | 0.00 |
α ARCH Response to squared shocks | 0.1786 | 0.00 |
β GARCH Volatility persistence | 0.8214 | 0.00 |
Spline Coefficients
K=10
| γ1 | 0.5896 | 0.00 |
| γ2 | -0.6442 | 0.00 |
| γ3 | -4.2662 | 0.00 |
| γ4 | 9.8915 | 0.00 |
| γ5 | -6.3039 | 0.00 |
| γ6 | -0.2468 | 0.00 |
| γ7 | 0.7892 | 0.00 |
| γ8 | 0.2749 | 0.00 |
| γ9 | -0.1615 | 0.00 |
| γ10 | 0.0505 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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