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, October 12th, 2026
1 Day
5,699.33
decreased by 52.58
1 Week
5,344.90
decreased by 407.01
1 Month
5,148.15
decreased by 603.76
Analysis last updated: Saturday, October 10, 2026 at 10:16 PM UTC
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How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 13, 2005 to Oct 9, 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 | 0.3205 | 0.00 |
| αARCH | 0.2061 | 0.00 |
| βGARCH | 0.7939 | 0.00 |
Spline Coefficients
K=8
| γ1 | 1.2990 | 0.00 |
| γ2 | -4.9895 | 0.00 |
| γ3 | 8.0584 | 0.00 |
| γ4 | -6.9107 | 0.00 |
| γ5 | 3.8014 | 0.00 |
| γ6 | -2.3560 | 0.00 |
| γ7 | 1.8036 | 0.00 |
| γ8 | -1.1404 | 0.00 |
1.000
Persistence99021d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3205 | 0.00 |
α ARCH Response to squared shocks | 0.2061 | 0.00 |
β GARCH Volatility persistence | 0.7939 | 0.00 |
Spline Coefficients
K=8
| γ1 | 1.2990 | 0.00 |
| γ2 | -4.9895 | 0.00 |
| γ3 | 8.0584 | 0.00 |
| γ4 | -6.9107 | 0.00 |
| γ5 | 3.8014 | 0.00 |
| γ6 | -2.3560 | 0.00 |
| γ7 | 1.8036 | 0.00 |
| γ8 | -1.1404 | 0.00 |
Persistence:
1.000
Half-life:
99021 days
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