Dfcc Bank Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Thursday, October 29th, 2026
1 Day
6,894.31
increased by 3,548.04
1 Week
4,444.83
increased by 1,098.56
1 Month
2,895.89
decreased by 450.38
Analysis last updated: Friday, October 30, 2026 at 12:07 AM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Aug 11, 1997 to Oct 23, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 636 trading days (~2.5 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 0.999, shock half-life ~636 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.5523 | 2.33** |
| αARCH | 0.1348 | 5.86*** |
| βGARCH | 0.8641 | 37.08*** |
Spline Coefficients
K=9
| γ1 | -1.5588 | -1.86* |
| γ2 | 1.2672 | 0.78 |
| γ3 | 2.7690 | 0.79 |
| γ4 | -4.7489 | -1.18 |
| γ5 | 3.2701 | 1.51 |
| γ6 | -1.7430 | -2.48** |
| γ7 | 1.5933 | 5.07*** |
| γ8 | -2.0596 | -4.91*** |
| γ9 | 2.9252 | 3.60*** |
0.999
Persistence636d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.5523 | 2.33** |
α ARCH Response to squared shocks | 0.1348 | 5.86*** |
β GARCH Volatility persistence | 0.8641 | 37.08*** |
Spline Coefficients
K=9
| γ1 | -1.5588 | -1.86* |
| γ2 | 1.2672 | 0.78 |
| γ3 | 2.7690 | 0.79 |
| γ4 | -4.7489 | -1.18 |
| γ5 | 3.2701 | 1.51 |
| γ6 | -1.7430 | -2.48** |
| γ7 | 1.5933 | 5.07*** |
| γ8 | -2.0596 | -4.91*** |
| γ9 | 2.9252 | 3.60*** |
Persistence:
0.999
Half-life:
636 days
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