V-Lab
Euro Menkul Kiymet 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 Monday, September 21st, 2026
1 Day
6,213.24
decreased by 26.90
1 Week
5,686.29
decreased by 553.85
1 Month
5,261.26
decreased by 978.88
Analysis last updated: Sunday, September 20, 2026 at 02:34 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Aug 27, 2013 to Sep 18, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 138629 trading days (~550.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
High persistence: persistence 1.000, shock half-life ~138629 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8868 | 0.00 |
| αARCH | 0.1612 | 0.00 |
| βGARCH | 0.8388 | 0.00 |
Spline Coefficients
K=7
| γ1 | -1.7772 | 0.00 |
| γ2 | -0.1177 | 0.00 |
| γ3 | 4.0036 | 0.01 |
| γ4 | -2.7463 | 0.00 |
| γ5 | 0.4652 | 0.00 |
| γ6 | 0.2322 | 0.00 |
| γ7 | 0.2317 | 0.00 |
1.000
Persistence138629d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8868 | 0.00 |
α ARCH Response to squared shocks | 0.1612 | 0.00 |
β GARCH Volatility persistence | 0.8388 | 0.00 |
Spline Coefficients
K=7
| γ1 | -1.7772 | 0.00 |
| γ2 | -0.1177 | 0.00 |
| γ3 | 4.0036 | 0.01 |
| γ4 | -2.7463 | 0.00 |
| γ5 | 0.4652 | 0.00 |
| γ6 | 0.2322 | 0.00 |
| γ7 | 0.2317 | 0.00 |
Persistence:
1.000
Half-life:
138629 days
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