hSenid Business Solutions PLC Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Tuesday, July 14th, 2026
1 Day
15,909.79
increased by 6,535.96
1 Week
10,644.04
increased by 1,270.21
1 Month
5,526.26
decreased by 3,847.57
Analysis last updated: Tuesday, July 14, 2026 at 08:08 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 21, 2021 to Jul 10, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 77016 trading days (~305.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9075 | 0.03 |
α ARCH Response to squared shocks | 0.3278 | 0.00 |
β GARCH Volatility persistence | 0.6722 | 0.01 |
Spline Coefficients
K=8
| γ1 | 16.1614 | 0.01 |
| γ2 | -39.1678 | -0.64 |
| γ3 | 39.2818 | 0.01 |
| γ4 | -38.5926 | -0.18 |
| γ5 | 46.9580 | 0.08 |
| γ6 | -41.7321 | -0.06 |
| γ7 | 18.9695 | 0.13 |
| γ8 | 5.6601 | 0.02 |
Persistence:
1.000
Half-life:
77016 days
Other hSenid Business Solutions PLC Analyses
Other Spline ILLIQ Analyses on International Equities