Eurocash 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 Wednesday, October 21st, 2026
1 Day
14,420.00
increased by 2,411.47
1 Week
11,016.88
decreased by 991.65
1 Month
11,587.15
decreased by 421.38
Analysis last updated: Wednesday, October 21, 2026 at 08:20 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Feb 7, 2005 to Oct 16, 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
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High persistence: persistence 1.000, shock half-life ~86643 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.6757 | 0.00 |
| αARCH | 0.1490 | 0.00 |
| βGARCH | 0.8510 | 0.00 |
Spline Coefficients
K=10
| γ1 | 1.3678 | 0.00 |
| γ2 | -3.6423 | 0.00 |
| γ3 | 3.2211 | 0.01 |
| γ4 | -1.3649 | -0.01 |
| γ5 | 0.9118 | 0.00 |
| γ6 | -0.4772 | 0.00 |
| γ7 | -0.1431 | 0.00 |
| γ8 | 0.1683 | 0.00 |
| γ9 | -0.0905 | 0.00 |
| γ10 | 0.1303 | 0.00 |
1.000
Persistence86643d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6757 | 0.00 |
α ARCH Response to squared shocks | 0.1490 | 0.00 |
β GARCH Volatility persistence | 0.8510 | 0.00 |
Spline Coefficients
K=10
| γ1 | 1.3678 | 0.00 |
| γ2 | -3.6423 | 0.00 |
| γ3 | 3.2211 | 0.01 |
| γ4 | -1.3649 | -0.01 |
| γ5 | 0.9118 | 0.00 |
| γ6 | -0.4772 | 0.00 |
| γ7 | -0.1431 | 0.00 |
| γ8 | 0.1683 | 0.00 |
| γ9 | -0.0905 | 0.00 |
| γ10 | 0.1303 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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