Al EZZ Ceramics and Porcelain Co 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 Sunday, October 25th, 2026
1 Day
6,946.64
increased by 1,251.60
1 Week
6,058.57
increased by 363.53
1 Month
4,052.57
decreased by 1,642.47
Analysis last updated: Friday, October 23, 2026 at 06:36 PM UTC
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How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 29, 2001 to Oct 22, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 99021 trading days (~392.9 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 ~99021 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.4758 | 0.01 |
| αARCH | 0.2127 | 0.00 |
| βGARCH | 0.7873 | 0.01 |
Spline Coefficients
K=3
| γ1 | -0.5120 | -0.01 |
| γ2 | 1.0432 | 0.01 |
| γ3 | -1.0839 | -0.01 |
1.000
Persistence99021d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4758 | 0.01 |
α ARCH Response to squared shocks | 0.2127 | 0.00 |
β GARCH Volatility persistence | 0.7873 | 0.01 |
Spline Coefficients
K=3
| γ1 | -0.5120 | -0.01 |
| γ2 | 1.0432 | 0.01 |
| γ3 | -1.0839 | -0.01 |
Persistence:
1.000
Half-life:
99021 days
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