V-Lab
Eurocash Sa Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, September 21st, 2026
1 Day
8,114.37
increased by 771.88
1 Week
6,877.31
decreased by 465.18
1 Month
9,106.84
increased by 1,764.35
Analysis last updated: Sunday, September 20, 2026 at 01:29 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Feb 7, 2005 to Sep 18, 2026Model Insight
This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 35 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
Time-varying baseline: illiquidity reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.1434 | 2.29** |
| αARCH | 0.1631 | 5.86*** |
| βGARCH | 0.8175 | 34.85*** |
Spline Coefficients
K=9
| γ1 | 0.8392 | 2.02** |
| γ2 | -2.0852 | -2.53** |
| γ3 | 2.0408 | 2.73*** |
| γ4 | -0.9885 | -2.01** |
| γ5 | 0.4213 | 1.59 |
| γ6 | -0.2465 | -1.29 |
| γ7 | -0.0177 | -0.12 |
| γ8 | -0.0086 | -0.05 |
| γ9 | 0.1592 | 0.70 |
0.981
Persistence35d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.1434 | 2.29** |
α ARCH Response to squared shocks | 0.1631 | 5.86*** |
β GARCH Volatility persistence | 0.8175 | 34.85*** |
Spline Coefficients
K=9
| γ1 | 0.8392 | 2.02** |
| γ2 | -2.0852 | -2.53** |
| γ3 | 2.0408 | 2.73*** |
| γ4 | -0.9885 | -2.01** |
| γ5 | 0.4213 | 1.59 |
| γ6 | -0.2465 | -1.29 |
| γ7 | -0.0177 | -0.12 |
| γ8 | -0.0086 | -0.05 |
| γ9 | 0.1592 | 0.70 |
Persistence:
0.981
Half-life:
35 days
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