Ghandhara Tyre And Rubber Co 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 Wednesday, November 11th, 2026
1 Day
6,385.62
decreased by 950.42
1 Week
6,895.54
decreased by 440.50
1 Month
7,813.30
increased by 477.26
Analysis last updated: Wednesday, November 11, 2026 at 08:58 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 9, 1995 to Nov 6, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): illiquidity shocks do not decay and the long-run level is undefined, so long-horizon forecasts should be treated with caution.
μ
ILLIQ-SMEM Model
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High persistence: persistence 1.000 ≥ 1, shocks do not decay
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.0990 | |
| αARCH | 0.2106 | |
| βGARCH | 0.7894 |
Spline Coefficients
K=9
| γ1 | 1.4523 | |
| γ2 | -2.9582 | |
| γ3 | 3.4497 | |
| γ4 | 0.7659 | |
| γ5 | -9.4029 | |
| γ6 | 10.9232 | |
| γ7 | -6.9841 | |
| γ8 | 4.9844 | |
| γ9 | -1.0343 |
1.000
Persistence-
Half-lifeμ
ILLIQ-SMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0990 | |
α ARCH Response to squared shocks | 0.2106 | |
β GARCH Volatility persistence | 0.7894 |
Spline Coefficients
K=9
| γ1 | 1.4523 | |
| γ2 | -2.9582 | |
| γ3 | 3.4497 | |
| γ4 | 0.7659 | |
| γ5 | -9.4029 | |
| γ6 | 10.9232 | |
| γ7 | -6.9841 | |
| γ8 | 4.9844 | |
| γ9 | -1.0343 |
Persistence:
1.000
Half-life:
-
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