PT Falmaco Nonwoven Industri 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 Tuesday, October 20th, 2026
1 Day
39,837.66
increased by 39,608.75
1 Week
8,104.94
increased by 7,876.03
1 Month
2,030.82
increased by 1,801.91
Analysis last updated: Tuesday, October 20, 2026 at 09:48 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 8, 2021 to Oct 16, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 86643 trading days (~343.8 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 1.000, shock half-life ~86643 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2688 | 0.00 |
| αARCH | 0.5859 | 0.00 |
| βGARCH | 0.4141 | 0.00 |
Spline Coefficients
K=8
| γ1 | -27.0734 | 0.00 |
| γ2 | 67.7323 | 0.00 |
| γ3 | -91.6563 | -0.05 |
| γ4 | 78.9650 | 0.02 |
| γ5 | -62.1986 | -0.02 |
| γ6 | 68.7912 | 0.01 |
| γ7 | -42.8819 | -0.01 |
| γ8 | -3.0242 | 0.00 |
1.000
Persistence86643d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2688 | 0.00 |
α ARCH Response to squared shocks | 0.5859 | 0.00 |
β GARCH Volatility persistence | 0.4141 | 0.00 |
Spline Coefficients
K=8
| γ1 | -27.0734 | 0.00 |
| γ2 | 67.7323 | 0.00 |
| γ3 | -91.6563 | -0.05 |
| γ4 | 78.9650 | 0.02 |
| γ5 | -62.1986 | -0.02 |
| γ6 | 68.7912 | 0.01 |
| γ7 | -42.8819 | -0.01 |
| γ8 | -3.0242 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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