Itafos Inc Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Tuesday, November 3rd, 2026
1 Day
1,099,156.00
decreased by 162,161.00
1 Week
1,034,915.82
decreased by 226,401.18
1 Month
576,376.41
decreased by 684,940.59
Analysis last updated: Tuesday, November 3, 2026 at 10:10 AM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Dec 30, 2009 to Oct 30, 2026Model Insight
This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 17 trading days.
μ
ILLIQ-SMEM Model
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Time-varying baseline: illiquidity reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7336 | 2.16** |
| αARCH | 0.3160 | 7.16*** |
| βGARCH | 0.6437 | 22.15*** |
Spline Coefficients
K=10
| γ1 | 1.1326 | 2.92*** |
| γ2 | -1.1607 | -1.85* |
| γ3 | 0.5562 | 0.90 |
| γ4 | -0.6605 | -1.01 |
| γ5 | -0.6658 | -1.30 |
| γ6 | 1.5206 | 3.56*** |
| γ7 | -2.1186 | -3.57*** |
| γ8 | 3.3728 | 4.45*** |
| γ9 | -4.4724 | -6.90*** |
| γ10 | 5.6703 | 5.69*** |
0.960
Persistence17d
Half-lifeμ
ILLIQ-SMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7336 | 2.16** |
α ARCH Response to squared shocks | 0.3160 | 7.16*** |
β GARCH Volatility persistence | 0.6437 | 22.15*** |
Spline Coefficients
K=10
| γ1 | 1.1326 | 2.92*** |
| γ2 | -1.1607 | -1.85* |
| γ3 | 0.5562 | 0.90 |
| γ4 | -0.6605 | -1.01 |
| γ5 | -0.6658 | -1.30 |
| γ6 | 1.5206 | 3.56*** |
| γ7 | -2.1186 | -3.57*** |
| γ8 | 3.3728 | 4.45*** |
| γ9 | -4.4724 | -6.90*** |
| γ10 | 5.6703 | 5.69*** |
Persistence:
0.960
Half-life:
17 days
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