Morganite Crucible India 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 Friday, July 10th, 2026
1 Day
11,464.59
increased by 3,916.69
1 Week
7,613.16
increased by 65.26
1 Month
5,551.39
decreased by 1,996.51
Analysis last updated: Friday, July 10, 2026 at 07:17 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Sep 19, 2003 to Jul 3, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 173286 trading days (~687.6 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 | 3.1308 | |
α ARCH Response to squared shocks | 0.1804 | |
β GARCH Volatility persistence | 0.8196 |
Spline Coefficients
K=9
| γ1 | 0.8169 | |
| γ2 | -2.2712 | |
| γ3 | 2.7020 | |
| γ4 | -2.1570 | |
| γ5 | 1.0893 | |
| γ6 | 0.0055 | |
| γ7 | -0.2726 | |
| γ8 | 0.0219 | |
| γ9 | 0.4256 |
Persistence:
1.000
Half-life:
173286 days
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