V-Lab
Hcl Technologies 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 Monday, July 27th, 2026
1 Day
3.05
increased by 0.44
1 Week
2.89
increased by 0.28
1 Month
3.75
increased by 1.14
Analysis last updated: Sunday, July 26, 2026 at 01:45 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Mar 30, 2000 to Jul 24, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 15068 trading days (~59.8 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 | 1.2727 | 0.32 |
α ARCH Response to squared shocks | 0.2092 | 0.09 |
β GARCH Volatility persistence | 0.7907 | 0.33 |
Spline Coefficients
K=10
| γ1 | -5.1751 | -0.09 |
| γ2 | 8.2826 | 0.09 |
| γ3 | -1.0690 | -0.04 |
| γ4 | -7.7530 | -0.17 |
| γ5 | 11.2972 | 0.16 |
| γ6 | -7.9936 | -0.15 |
| γ7 | 2.6237 | 0.15 |
| γ8 | -0.5085 | -0.57 |
| γ9 | 0.6557 | 1.06 |
| γ10 | -0.6591 | -0.76 |
Persistence:
1.000
Half-life:
15068 days
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