V-Lab
Geekay Wires 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 Monday, September 7th, 2026
1 Day
4,575.01
decreased by 758.46
1 Week
4,454.93
decreased by 878.54
1 Month
6,208.93
increased by 875.46
Analysis last updated: Saturday, September 5, 2026 at 10:03 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 16, 2017 to Sep 4, 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 | 0.2728 | 0.01 |
| αARCH | 0.2970 | 0.00 |
| βGARCH | 0.7030 | 0.00 |
Spline Coefficients
K=10
| γ1 | -49.0497 | 0.00 |
| γ2 | 67.5692 | 0.00 |
| γ3 | -35.6701 | 0.00 |
| γ4 | 31.1353 | 0.00 |
| γ5 | -10.4539 | 0.00 |
| γ6 | -11.2617 | 0.00 |
| γ7 | 8.7831 | 0.00 |
| γ8 | 0.6474 | 0.00 |
| γ9 | -1.7595 | 0.00 |
| γ10 | -2.0958 | 0.00 |
1.000
Persistence99021d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2728 | 0.01 |
α ARCH Response to squared shocks | 0.2970 | 0.00 |
β GARCH Volatility persistence | 0.7030 | 0.00 |
Spline Coefficients
K=10
| γ1 | -49.0497 | 0.00 |
| γ2 | 67.5692 | 0.00 |
| γ3 | -35.6701 | 0.00 |
| γ4 | 31.1353 | 0.00 |
| γ5 | -10.4539 | 0.00 |
| γ6 | -11.2617 | 0.00 |
| γ7 | 8.7831 | 0.00 |
| γ8 | 0.6474 | 0.00 |
| γ9 | -1.7595 | 0.00 |
| γ10 | -2.0958 | 0.00 |
Persistence:
1.000
Half-life:
99021 days
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