V-Lab
Everforth Inc Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, July 27th, 2026
1 Day
2,509.83
increased by 110.29
1 Week
2,343.13
decreased by 56.41
1 Month
2,322.18
decreased by 77.36
Analysis last updated: Friday, July 24, 2026 at 10:31 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Sep 22, 1992 to Jul 24, 2026Model Insight
With persistence 0.993, illiquidity shocks have a half-life of 93 trading days (~0.4 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 | 1.7428 | 4.99*** |
α ARCH Response to squared shocks | 0.0920 | 8.42*** |
β GARCH Volatility persistence | 0.9005 | 76.50*** |
Spline Coefficients
K=6
| γ1 | -0.1405 | -3.84*** |
| γ2 | 0.2082 | 3.85*** |
| γ3 | -0.0968 | -2.99*** |
| γ4 | 0.0338 | 1.23 |
| γ5 | 0.0105 | 0.34 |
| γ6 | 0.0028 | 0.06 |
Persistence:
0.993
Half-life:
93 days
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