V-Lab
Enjoy Sa 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 Friday, July 24th, 2026
1 Day
3,523.82
increased by 2,701.37
1 Week
1,386.27
increased by 563.82
1 Month
1,156.86
increased by 334.41
Analysis last updated: Friday, July 24, 2026 at 06:03 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 7, 2009 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 86643 trading days (~343.8 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 | 0.3541 | 0.00 |
α ARCH Response to squared shocks | 0.1082 | 0.00 |
β GARCH Volatility persistence | 0.8918 | 0.00 |
Spline Coefficients
K=10
| γ1 | 3.0401 | 0.00 |
| γ2 | -7.9994 | 0.00 |
| γ3 | 7.9126 | 0.01 |
| γ4 | -4.7955 | 0.00 |
| γ5 | 3.7352 | 0.00 |
| γ6 | -6.1928 | 0.00 |
| γ7 | 8.1317 | 0.00 |
| γ8 | -5.6578 | 0.00 |
| γ9 | 6.6388 | 0.00 |
| γ10 | -7.7083 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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