V-Lab
Ellington Credit Co Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Tuesday, April 1st, 2025
1 Day
3,332.85
decreased by 53.94
1 Week
2,995.92
decreased by 390.87
1 Month
2,189.67
decreased by 1,197.12
Analysis last updated: Wednesday, September 2, 2026 at 04:11 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
May 1, 2013 to Mar 31, 2025Model Insight
With persistence 0.995, illiquidity shocks have a half-life of 138 trading days (~0.5 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 0.995, shock half-life ~138 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.0273 | 4.77*** |
| αARCH | 0.1523 | 14.03*** |
| βGARCH | 0.8427 | 75.95*** |
Spline Coefficients
K=1
| γ1 | -0.0443 | -3.67*** |
0.995
Persistence138d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0273 | 4.77*** |
α ARCH Response to squared shocks | 0.1523 | 14.03*** |
β GARCH Volatility persistence | 0.8427 | 75.95*** |
Spline Coefficients
K=1
| γ1 | -0.0443 | -3.67*** |
Persistence:
0.995
Half-life:
138 days
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