V-Lab
Hosken Consolidated Investments 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 Tuesday, September 29th, 2026
1 Day
2,733.70
decreased by 43.84
1 Week
2,513.98
decreased by 263.56
1 Month
1,978.75
decreased by 798.79
Analysis last updated: Tuesday, September 29, 2026 at 08:23 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 10, 1990 to Sep 25, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 115524 trading days (~458.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
High persistence: persistence 1.000, shock half-life ~115524 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.3057 | 0.03 |
| αARCH | 0.0749 | 0.00 |
| βGARCH | 0.9251 | 0.03 |
Spline Coefficients
K=10
| γ1 | -0.1088 | 0.00 |
| γ2 | 0.6415 | 0.00 |
| γ3 | -1.1641 | 0.00 |
| γ4 | 0.8195 | 0.02 |
| γ5 | -0.4275 | -0.05 |
| γ6 | 0.4595 | 0.02 |
| γ7 | -0.1958 | 0.00 |
| γ8 | -0.0716 | 0.00 |
| γ9 | -0.0682 | 0.00 |
| γ10 | 0.4295 | 0.00 |
1.000
Persistence115524d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.3057 | 0.03 |
α ARCH Response to squared shocks | 0.0749 | 0.00 |
β GARCH Volatility persistence | 0.9251 | 0.03 |
Spline Coefficients
K=10
| γ1 | -0.1088 | 0.00 |
| γ2 | 0.6415 | 0.00 |
| γ3 | -1.1641 | 0.00 |
| γ4 | 0.8195 | 0.02 |
| γ5 | -0.4275 | -0.05 |
| γ6 | 0.4595 | 0.02 |
| γ7 | -0.1958 | 0.00 |
| γ8 | -0.0716 | 0.00 |
| γ9 | -0.0682 | 0.00 |
| γ10 | 0.4295 | 0.00 |
Persistence:
1.000
Half-life:
115524 days
Other Hosken Consolidated Investments Ltd Analyses
Other Spline ILLIQ Analyses on International Equities