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
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
6,517.69
increased by 2,437.82
1 Week
5,047.63
increased by 967.76
1 Month
5,158.01
increased by 1,078.14
Analysis last updated: Tuesday, July 21, 2026 at 07:06 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Mar 15, 2012 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 115524 trading days (~458.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0742 | 0.01 |
α ARCH Response to squared shocks | 0.1132 | 0.00 |
β GARCH Volatility persistence | 0.8868 | 0.00 |
Spline Coefficients
K=9
| γ1 | -1.5487 | 0.00 |
| γ2 | 7.7389 | 0.00 |
| γ3 | -15.4667 | 0.00 |
| γ4 | 16.4432 | 0.00 |
| γ5 | -8.5444 | 0.00 |
| γ6 | -4.0110 | 0.00 |
| γ7 | 11.1945 | 0.00 |
| γ8 | -7.3448 | 0.00 |
| γ9 | 2.3316 | 0.00 |
Persistence:
1.000
Half-life:
115524 days
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