V-Lab
Intel Corp Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, September 21st, 2026
1 Day
3.13
decreased by 0.22
1 Week
3.28
decreased by 0.07
1 Month
3.08
decreased by 0.27
Analysis last updated: Friday, September 18, 2026 at 10:32 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 2, 1990 to Sep 18, 2026Model Insight
With persistence 0.997, illiquidity shocks have a half-life of 225 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 ~225 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1169 | 8.63*** |
| αARCH | 0.0723 | 6.07*** |
| βGARCH | 0.9246 | 86.83*** |
Spline Coefficients
K=1
| γ1 | -0.0019 | -1.27 |
0.997
Persistence225d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1169 | 8.63*** |
α ARCH Response to squared shocks | 0.0723 | 6.07*** |
β GARCH Volatility persistence | 0.9246 | 86.83*** |
Spline Coefficients
K=1
| γ1 | -0.0019 | -1.27 |
Persistence:
0.997
Half-life:
225 days
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