V-Lab
D P Wires Ltd 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 Friday, September 11th, 2026
1 Day
17,915.51
decreased by 4,711.62
1 Week
22,230.86
decreased by 396.27
1 Month
18,063.28
decreased by 4,563.85
Analysis last updated: Friday, September 11, 2026 at 07:37 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 11, 2017 to Sep 4, 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 | 0.2105 | 0.00 |
| αARCH | 0.2515 | 0.00 |
| βGARCH | 0.7484 | 0.00 |
Spline Coefficients
K=10
| γ1 | 15.7598 | 0.00 |
| γ2 | -46.8056 | 0.00 |
| γ3 | 50.0357 | 0.00 |
| γ4 | -23.0448 | 0.00 |
| γ5 | 3.6446 | 0.00 |
| γ6 | -0.1069 | 0.00 |
| γ7 | 3.3874 | 0.00 |
| γ8 | -3.8301 | 0.00 |
| γ9 | -0.8701 | 0.00 |
| γ10 | 7.7260 | 0.00 |
1.000
Persistence86643d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2105 | 0.00 |
α ARCH Response to squared shocks | 0.2515 | 0.00 |
β GARCH Volatility persistence | 0.7484 | 0.00 |
Spline Coefficients
K=10
| γ1 | 15.7598 | 0.00 |
| γ2 | -46.8056 | 0.00 |
| γ3 | 50.0357 | 0.00 |
| γ4 | -23.0448 | 0.00 |
| γ5 | 3.6446 | 0.00 |
| γ6 | -0.1069 | 0.00 |
| γ7 | 3.3874 | 0.00 |
| γ8 | -3.8301 | 0.00 |
| γ9 | -0.8701 | 0.00 |
| γ10 | 7.7260 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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