V-Lab
Intel Corp Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, September 14th, 2026
1 Day
3.25
decreased by 0.01
1 Week
3.17
decreased by 0.09
1 Month
3.07
decreased by 0.19
Analysis last updated: Friday, September 11, 2026 at 10:59 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 2, 1990 to Sep 11, 2026Model Insight
With persistence 0.997, illiquidity shocks have a half-life of 222 trading days (~0.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
High persistence: persistence 0.997, shock half-life ~222 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1188 | 8.64*** |
| αARCH | 0.0724 | 6.07*** |
| βGARCH | 0.9245 | 86.80*** |
Spline Coefficients
K=1
| γ1 | -0.0018 | -1.26 |
0.997
Persistence222d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1188 | 8.64*** |
α ARCH Response to squared shocks | 0.0724 | 6.07*** |
β GARCH Volatility persistence | 0.9245 | 86.80*** |
Spline Coefficients
K=1
| γ1 | -0.0018 | -1.26 |
Persistence:
0.997
Half-life:
222 days
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