Dulamia Cotton Spinning Mill 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 Wednesday, July 15th, 2026
1 Day
6,558.71
decreased by 5,793.30
1 Week
5,078.18
decreased by 7,273.83
1 Month
2,588.14
decreased by 9,763.87
Analysis last updated: Wednesday, July 15, 2026 at 06:12 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Oct 5, 2009 to Jul 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 7.6519 | 0.00 |
α ARCH Response to squared shocks | 0.4884 | 0.00 |
β GARCH Volatility persistence | 0.5116 | 0.00 |
Spline Coefficients
K=10
| γ1 | -1.0907 | -0.01 |
| γ2 | 0.6052 | 0.00 |
| γ3 | 1.9284 | 0.13 |
| γ4 | -3.9348 | -0.07 |
| γ5 | 2.9808 | 0.13 |
| γ6 | 1.7706 | 0.05 |
| γ7 | -5.7817 | -0.10 |
| γ8 | 6.2973 | 0.22 |
| γ9 | -2.4385 | -0.09 |
| γ10 | -22.1940 | -0.28 |
Persistence:
1.000
Half-life:
86643 days
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