Ghani Glass 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 Friday, October 9th, 2026
1 Day
6,372.48
increased by 3,328.38
1 Week
3,081.92
increased by 37.82
1 Month
1,585.16
decreased by 1,458.94
Analysis last updated: Friday, October 9, 2026 at 10:36 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Mar 17, 2006 to Oct 2, 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 | 1.0400 | 0.00 |
| αARCH | 0.1861 | 0.00 |
| βGARCH | 0.8138 | 0.00 |
Spline Coefficients
K=9
| γ1 | 1.2279 | 0.00 |
| γ2 | -3.0198 | 0.00 |
| γ3 | 2.3736 | 0.00 |
| γ4 | -0.8448 | -0.02 |
| γ5 | 0.8253 | 0.02 |
| γ6 | -1.2339 | -0.01 |
| γ7 | 1.0770 | 0.02 |
| γ8 | -0.5746 | 0.00 |
| γ9 | 0.5274 | 0.00 |
1.000
Persistence86643d
Half-lifeμ
ILLIQ-SMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0400 | 0.00 |
α ARCH Response to squared shocks | 0.1861 | 0.00 |
β GARCH Volatility persistence | 0.8138 | 0.00 |
Spline Coefficients
K=9
| γ1 | 1.2279 | 0.00 |
| γ2 | -3.0198 | 0.00 |
| γ3 | 2.3736 | 0.00 |
| γ4 | -0.8448 | -0.02 |
| γ5 | 0.8253 | 0.02 |
| γ6 | -1.2339 | -0.01 |
| γ7 | 1.0770 | 0.02 |
| γ8 | -0.5746 | 0.00 |
| γ9 | 0.5274 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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