V-Lab
Gfl 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
3,470.03
decreased by 240.98
1 Week
4,219.02
increased by 508.01
1 Month
5,680.84
increased by 1,969.83
Analysis last updated: Saturday, September 5, 2026 at 10:13 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 13, 2005 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 | 0.3252 | 0.00 |
| αARCH | 0.2064 | 0.00 |
| βGARCH | 0.7936 | 0.00 |
Spline Coefficients
K=8
| γ1 | 1.2985 | 0.00 |
| γ2 | -4.8547 | 0.00 |
| γ3 | 7.6697 | 0.00 |
| γ4 | -6.5009 | 0.00 |
| γ5 | 3.5629 | 0.00 |
| γ6 | -2.1590 | 0.00 |
| γ7 | 1.5697 | 0.00 |
| γ8 | -0.9419 | 0.00 |
1.000
Persistence99021d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3252 | 0.00 |
α ARCH Response to squared shocks | 0.2064 | 0.00 |
β GARCH Volatility persistence | 0.7936 | 0.00 |
Spline Coefficients
K=8
| γ1 | 1.2985 | 0.00 |
| γ2 | -4.8547 | 0.00 |
| γ3 | 7.6697 | 0.00 |
| γ4 | -6.5009 | 0.00 |
| γ5 | 3.5629 | 0.00 |
| γ6 | -2.1590 | 0.00 |
| γ7 | 1.5697 | 0.00 |
| γ8 | -0.9419 | 0.00 |
Persistence:
1.000
Half-life:
99021 days
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