Travel Inv & Seafood Dev 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 Wednesday, October 14th, 2026
1 Day
10,951.59
increased by 7,564.54
1 Week
5,184.88
increased by 1,797.83
1 Month
4,194.69
increased by 807.64
Analysis last updated: Wednesday, October 14, 2026 at 09:54 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Nov 5, 2015 to Oct 9, 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
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High persistence: persistence 1.000, shock half-life ~86643 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9024 | 0.00 |
| αARCH | 0.1686 | 0.00 |
| βGARCH | 0.8314 | 0.01 |
Spline Coefficients
K=10
| γ1 | 6.2690 | 0.00 |
| γ2 | -30.2377 | -0.04 |
| γ3 | 46.6512 | 0.00 |
| γ4 | -32.5675 | 0.00 |
| γ5 | 11.6071 | 0.00 |
| γ6 | -3.0519 | 0.00 |
| γ7 | 3.5952 | 0.00 |
| γ8 | -2.9326 | 0.00 |
| γ9 | -2.1600 | 0.00 |
| γ10 | 8.6931 | 0.00 |
1.000
Persistence86643d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9024 | 0.00 |
α ARCH Response to squared shocks | 0.1686 | 0.00 |
β GARCH Volatility persistence | 0.8314 | 0.01 |
Spline Coefficients
K=10
| γ1 | 6.2690 | 0.00 |
| γ2 | -30.2377 | -0.04 |
| γ3 | 46.6512 | 0.00 |
| γ4 | -32.5675 | 0.00 |
| γ5 | 11.6071 | 0.00 |
| γ6 | -3.0519 | 0.00 |
| γ7 | 3.5952 | 0.00 |
| γ8 | -2.9326 | 0.00 |
| γ9 | -2.1600 | 0.00 |
| γ10 | 8.6931 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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