Hedge Logistica Fundo de Investimento Imobiliario 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, October 27th, 2026
1 Day
54,964.25
decreased by 0.74
1 Week
58,790.44
increased by 3,825.45
1 Month
88,613.56
increased by 33,648.57
Analysis last updated: Tuesday, October 27, 2026 at 09:54 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
May 5, 2020 to Oct 23, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 49510 trading days (~196.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
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High persistence: persistence 1.000, shock half-life ~49510 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9624 | 0.00 |
| αARCH | 0.0000 | 0.00 |
| βGARCH | 1.0000 | 0.00 |
Spline Coefficients
K=10
| γ1 | -21.5374 | 0.00 |
| γ2 | 48.9112 | 2.04** |
| γ3 | -34.0138 | -1.55 |
| γ4 | 3.2157 | 0.16 |
| γ5 | 9.9994 | 0.48 |
| γ6 | -12.3053 | -0.60 |
| γ7 | 6.2595 | 0.30 |
| γ8 | -0.1483 | -0.01 |
| γ9 | 2.8382 | 0.13 |
| γ10 | -18.9667 | -1.01 |
1.000
Persistence49510d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9624 | 0.00 |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 1.0000 | 0.00 |
Spline Coefficients
K=10
| γ1 | -21.5374 | 0.00 |
| γ2 | 48.9112 | 2.04** |
| γ3 | -34.0138 | -1.55 |
| γ4 | 3.2157 | 0.16 |
| γ5 | 9.9994 | 0.48 |
| γ6 | -12.3053 | -0.60 |
| γ7 | 6.2595 | 0.30 |
| γ8 | -0.1483 | -0.01 |
| γ9 | 2.8382 | 0.13 |
| γ10 | -18.9667 | -1.01 |
Persistence:
1.000
Half-life:
49510 days
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