Eastern Insurance PLC 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 Thursday, November 12th, 2026
1 Day
3,266.31
decreased by 461.85
1 Week
3,344.87
decreased by 383.29
1 Month
4,656.39
increased by 928.23
Analysis last updated: Thursday, November 12, 2026 at 06:57 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Aug 26, 2009 to Nov 5, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 69314 trading days (~275.1 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 ~69314 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7997 | 0.01 |
| αARCH | 0.2170 | 0.00 |
| βGARCH | 0.7830 | 0.00 |
Spline Coefficients
K=9
| γ1 | -5.8862 | 0.00 |
| γ2 | 10.5727 | 0.00 |
| γ3 | -7.5617 | 0.00 |
| γ4 | 4.0529 | 0.00 |
| γ5 | -8.6487 | 0.00 |
| γ6 | 21.1457 | 0.00 |
| γ7 | -23.1524 | 0.00 |
| γ8 | 13.4363 | 0.00 |
| γ9 | -6.3473 | 0.00 |
1.000
Persistence69314d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7997 | 0.01 |
α ARCH Response to squared shocks | 0.2170 | 0.00 |
β GARCH Volatility persistence | 0.7830 | 0.00 |
Spline Coefficients
K=9
| γ1 | -5.8862 | 0.00 |
| γ2 | 10.5727 | 0.00 |
| γ3 | -7.5617 | 0.00 |
| γ4 | 4.0529 | 0.00 |
| γ5 | -8.6487 | 0.00 |
| γ6 | 21.1457 | 0.00 |
| γ7 | -23.1524 | 0.00 |
| γ8 | 13.4363 | 0.00 |
| γ9 | -6.3473 | 0.00 |
Persistence:
1.000
Half-life:
69314 days
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