Hyperscale Data Inc 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, November 2nd, 2026
1 Day
18,204.43
increased by 7,016.63
1 Week
14,487.06
increased by 3,299.26
1 Month
16,321.73
increased by 5,133.93
Analysis last updated: Friday, October 30, 2026 at 10:52 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Dec 17, 1996 to Oct 30, 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 | 0.3763 | 0.04 |
| αARCH | 0.1913 | 0.01 |
| βGARCH | 0.8087 | 0.05 |
Spline Coefficients
K=10
| γ1 | -1.6978 | -0.01 |
| γ2 | 2.4547 | 0.01 |
| γ3 | -1.2137 | -0.01 |
| γ4 | 0.7910 | 0.02 |
| γ5 | -0.7846 | -0.07 |
| γ6 | 1.0828 | 4.77*** |
| γ7 | -2.2625 | -0.48 |
| γ8 | 4.0684 | 1.21 |
| γ9 | -3.7327 | -0.10 |
| γ10 | 1.1880 | 0.01 |
1.000
Persistence86643d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3763 | 0.04 |
α ARCH Response to squared shocks | 0.1913 | 0.01 |
β GARCH Volatility persistence | 0.8087 | 0.05 |
Spline Coefficients
K=10
| γ1 | -1.6978 | -0.01 |
| γ2 | 2.4547 | 0.01 |
| γ3 | -1.2137 | -0.01 |
| γ4 | 0.7910 | 0.02 |
| γ5 | -0.7846 | -0.07 |
| γ6 | 1.0828 | 4.77*** |
| γ7 | -2.2625 | -0.48 |
| γ8 | 4.0684 | 1.21 |
| γ9 | -3.7327 | -0.10 |
| γ10 | 1.1880 | 0.01 |
Persistence:
1.000
Half-life:
86643 days
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