International Agricultural Products 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 Thursday, November 5th, 2026
1 Day
7,941.50
increased by 407.65
1 Week
7,189.38
decreased by 344.47
1 Month
4,696.58
decreased by 2,837.27
Analysis last updated: Thursday, November 5, 2026 at 07:42 PM UTC
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How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Aug 13, 2002 to Nov 2, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 77016 trading days (~305.6 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 ~77016 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 48.7209 | 0.00 |
| αARCH | 0.2586 | 0.00 |
| βGARCH | 0.7414 | 0.00 |
Spline Coefficients
K=10
| γ1 | -4.4113 | 0.00 |
| γ2 | 7.9678 | 0.00 |
| γ3 | -5.3037 | 0.00 |
| γ4 | 2.8835 | 0.00 |
| γ5 | -2.4119 | -0.01 |
| γ6 | 0.8805 | 0.00 |
| γ7 | 2.6708 | 0.01 |
| γ8 | -4.0639 | -0.01 |
| γ9 | 2.1154 | 0.04 |
| γ10 | -0.0398 | 0.00 |
1.000
Persistence77016d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 48.7209 | 0.00 |
α ARCH Response to squared shocks | 0.2586 | 0.00 |
β GARCH Volatility persistence | 0.7414 | 0.00 |
Spline Coefficients
K=10
| γ1 | -4.4113 | 0.00 |
| γ2 | 7.9678 | 0.00 |
| γ3 | -5.3037 | 0.00 |
| γ4 | 2.8835 | 0.00 |
| γ5 | -2.4119 | -0.01 |
| γ6 | 0.8805 | 0.00 |
| γ7 | 2.6708 | 0.01 |
| γ8 | -4.0639 | -0.01 |
| γ9 | 2.1154 | 0.04 |
| γ10 | -0.0398 | 0.00 |
Persistence:
1.000
Half-life:
77016 days
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