Eleco 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, October 29th, 2026
1 Day
21,436.24
increased by 18,016.18
1 Week
7,172.44
increased by 3,752.38
1 Month
5,240.52
increased by 1,820.46
Analysis last updated: Friday, October 30, 2026 at 12:35 AM UTC
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How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 2, 2007 to Oct 23, 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 | 13.9664 | 0.00 |
| αARCH | 0.3145 | 0.00 |
| βGARCH | 0.6854 | 0.00 |
Spline Coefficients
K=10
| γ1 | -1.9088 | 0.00 |
| γ2 | 2.1019 | 0.00 |
| γ3 | -0.3868 | 0.00 |
| γ4 | 0.3485 | 0.00 |
| γ5 | -0.2990 | -0.01 |
| γ6 | -0.4775 | 0.00 |
| γ7 | 3.1877 | 0.00 |
| γ8 | -5.4808 | 0.00 |
| γ9 | 3.9243 | 0.01 |
| γ10 | -1.4301 | -0.01 |
1.000
Persistence69314d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 13.9664 | 0.00 |
α ARCH Response to squared shocks | 0.3145 | 0.00 |
β GARCH Volatility persistence | 0.6854 | 0.00 |
Spline Coefficients
K=10
| γ1 | -1.9088 | 0.00 |
| γ2 | 2.1019 | 0.00 |
| γ3 | -0.3868 | 0.00 |
| γ4 | 0.3485 | 0.00 |
| γ5 | -0.2990 | -0.01 |
| γ6 | -0.4775 | 0.00 |
| γ7 | 3.1877 | 0.00 |
| γ8 | -5.4808 | 0.00 |
| γ9 | 3.9243 | 0.01 |
| γ10 | -1.4301 | -0.01 |
Persistence:
1.000
Half-life:
69314 days
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