V-Lab
Eurocash Sa Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, September 7th, 2026
1 Day
9,543.63
decreased by 1,280.38
1 Week
10,118.17
decreased by 705.84
1 Month
11,459.08
increased by 635.07
Analysis last updated: Sunday, September 6, 2026 at 01:09 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Feb 7, 2005 to Sep 4, 2026Model Insight
With persistence 0.994, illiquidity shocks have a half-life of 117 trading days (~0.5 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 0.994, shock half-life ~117 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.8708 | 3.14*** |
| αARCH | 0.1523 | 6.44*** |
| βGARCH | 0.8418 | 37.34*** |
Spline Coefficients
K=8
| γ1 | 0.6774 | 1.72* |
| γ2 | -2.3542 | -2.43** |
| γ3 | 3.5281 | 2.77*** |
| γ4 | -2.6505 | -2.61*** |
| γ5 | 1.1307 | 2.82*** |
| γ6 | -0.5127 | -2.55** |
| γ7 | 0.2290 | 1.08 |
| γ8 | -0.0347 | -0.13 |
0.994
Persistence117d
Half-lifeμ
ILLIQ-SMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.8708 | 3.14*** |
α ARCH Response to squared shocks | 0.1523 | 6.44*** |
β GARCH Volatility persistence | 0.8418 | 37.34*** |
Spline Coefficients
K=8
| γ1 | 0.6774 | 1.72* |
| γ2 | -2.3542 | -2.43** |
| γ3 | 3.5281 | 2.77*** |
| γ4 | -2.6505 | -2.61*** |
| γ5 | 1.1307 | 2.82*** |
| γ6 | -0.5127 | -2.55** |
| γ7 | 0.2290 | 1.08 |
| γ8 | -0.0347 | -0.13 |
Persistence:
0.994
Half-life:
117 days
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