Vinacomin Halam Coal Jsc Spline ILLIQ Liquidity Analysis
Liquidity prediction for Monday, July 20th, 2026
1 Day
9,553.96
decreased by 936.03
1 Week
6,203.91
decreased by 4,286.08
1 Month
2,502.68
decreased by 7,987.31
Analysis last updated: Sunday, July 19, 2026 at 04:11 AM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Mar 5, 2009 to Jul 17, 2026Model Insight
With persistence 0.996, illiquidity shocks have a half-life of 167 trading days (~0.7 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 | 1.2407 | 4.06*** |
α ARCH Response to squared shocks | 0.1149 | 7.41*** |
β GARCH Volatility persistence | 0.8809 | 48.48*** |
Spline Coefficients
K=8
| γ1 | 1.1345 | 0.90 |
| γ2 | -2.2342 | -1.35 |
| γ3 | 1.8522 | 2.04** |
| γ4 | -1.1032 | -1.14 |
| γ5 | -1.2557 | -1.15 |
| γ6 | 4.1900 | 3.81*** |
| γ7 | -4.4092 | -4.16*** |
| γ8 | 4.3705 | 2.38** |
Persistence:
0.996
Half-life:
167 days
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