V-Lab
Hedge Logistica Fundo de Investimento Imobiliario Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, September 21st, 2026
1 Day
98,252.66
decreased by 31.90
1 Week
104,215.32
increased by 5,930.76
1 Month
148,111.65
increased by 49,827.09
Analysis last updated: Sunday, September 20, 2026 at 04:12 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
May 5, 2020 to Sep 18, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 1986 trading days (~7.9 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 ~1986 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9317 | 0.00 |
| αARCH | 0.0000 | 0.00 |
| βGARCH | 0.9997 | 0.00 |
Spline Coefficients
K=10
| γ1 | -23.4979 | -0.01 |
| γ2 | 51.0687 | 0.24 |
| γ3 | -32.2290 | -0.14 |
| γ4 | -0.6349 | 0.00 |
| γ5 | 12.4262 | 0.05 |
| γ6 | -11.9180 | -0.05 |
| γ7 | 4.4585 | 0.02 |
| γ8 | -0.5792 | 0.00 |
| γ9 | 7.1396 | 0.02 |
| γ10 | -21.6774 | -0.07 |
1.000
Persistence1986d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9317 | 0.00 |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.9997 | 0.00 |
Spline Coefficients
K=10
| γ1 | -23.4979 | -0.01 |
| γ2 | 51.0687 | 0.24 |
| γ3 | -32.2290 | -0.14 |
| γ4 | -0.6349 | 0.00 |
| γ5 | 12.4262 | 0.05 |
| γ6 | -11.9180 | -0.05 |
| γ7 | 4.4585 | 0.02 |
| γ8 | -0.5792 | 0.00 |
| γ9 | 7.1396 | 0.02 |
| γ10 | -21.6774 | -0.07 |
Persistence:
1.000
Half-life:
1986 days
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