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, October 12th, 2026
1 Day
9,686.75
decreased by 475.05
1 Week
9,680.78
decreased by 481.02
1 Month
12,077.01
increased by 1,915.21
Analysis last updated: Saturday, October 10, 2026 at 02:25 AM UTC
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How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Dec 17, 1996 to Oct 9, 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 | 0.3935 | 0.04 |
| αARCH | 0.1905 | 0.01 |
| βGARCH | 0.8095 | 0.05 |
Spline Coefficients
K=10
| γ1 | -1.6895 | -0.01 |
| γ2 | 2.4409 | 0.01 |
| γ3 | -1.2116 | -0.01 |
| γ4 | 0.8051 | 0.02 |
| γ5 | -0.8127 | -0.07 |
| γ6 | 1.1222 | 0.86 |
| γ7 | -2.2575 | -0.29 |
| γ8 | 3.9250 | 0.55 |
| γ9 | -3.4641 | -0.05 |
| γ10 | 0.8210 | 0.01 |
1.000
Persistence86643d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3935 | 0.04 |
α ARCH Response to squared shocks | 0.1905 | 0.01 |
β GARCH Volatility persistence | 0.8095 | 0.05 |
Spline Coefficients
K=10
| γ1 | -1.6895 | -0.01 |
| γ2 | 2.4409 | 0.01 |
| γ3 | -1.2116 | -0.01 |
| γ4 | 0.8051 | 0.02 |
| γ5 | -0.8127 | -0.07 |
| γ6 | 1.1222 | 0.86 |
| γ7 | -2.2575 | -0.29 |
| γ8 | 3.9250 | 0.55 |
| γ9 | -3.4641 | -0.05 |
| γ10 | 0.8210 | 0.01 |
Persistence:
1.000
Half-life:
86643 days
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