V-Lab
Filatex Fashions Ltd 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 Thursday, September 24th, 2026
1 Day
8,596.33
increased by 4,494.22
1 Week
4,676.20
increased by 574.09
1 Month
1,525.56
decreased by 2,576.55
Analysis last updated: Thursday, September 24, 2026 at 07:05 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Mar 15, 2012 to Sep 18, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 99021 trading days (~392.9 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 ~99021 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9387 | 0.00 |
| αARCH | 0.1994 | 0.00 |
| βGARCH | 0.8006 | 0.00 |
Spline Coefficients
K=8
| γ1 | -5.1325 | 0.00 |
| γ2 | 7.3086 | 0.00 |
| γ3 | -3.6172 | -0.02 |
| γ4 | 2.5490 | 0.00 |
| γ5 | -3.5708 | -0.01 |
| γ6 | 3.7149 | 0.00 |
| γ7 | -1.5845 | 0.00 |
| γ8 | 4.5217 | 0.00 |
1.000
Persistence99021d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9387 | 0.00 |
α ARCH Response to squared shocks | 0.1994 | 0.00 |
β GARCH Volatility persistence | 0.8006 | 0.00 |
Spline Coefficients
K=8
| γ1 | -5.1325 | 0.00 |
| γ2 | 7.3086 | 0.00 |
| γ3 | -3.6172 | -0.02 |
| γ4 | 2.5490 | 0.00 |
| γ5 | -3.5708 | -0.01 |
| γ6 | 3.7149 | 0.00 |
| γ7 | -1.5845 | 0.00 |
| γ8 | 4.5217 | 0.00 |
Persistence:
1.000
Half-life:
99021 days
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