ITAB Group AB 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 Friday, October 9th, 2026
1 Day
4,713.33
decreased by 281.37
1 Week
5,071.42
increased by 76.72
1 Month
4,617.20
decreased by 377.50
Analysis last updated: Saturday, October 10, 2026 at 12:09 AM UTC
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How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
May 31, 2004 to Oct 2, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 138629 trading days (~550.1 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 ~138629 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9284 | 0.05 |
| αARCH | 0.1058 | 0.00 |
| βGARCH | 0.8942 | 0.02 |
Spline Coefficients
K=4
| γ1 | -0.4534 | -0.01 |
| γ2 | 0.4811 | 0.00 |
| γ3 | 0.0819 | 0.00 |
| γ4 | -0.2797 | -0.01 |
1.000
Persistence138629d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9284 | 0.05 |
α ARCH Response to squared shocks | 0.1058 | 0.00 |
β GARCH Volatility persistence | 0.8942 | 0.02 |
Spline Coefficients
K=4
| γ1 | -0.4534 | -0.01 |
| γ2 | 0.4811 | 0.00 |
| γ3 | 0.0819 | 0.00 |
| γ4 | -0.2797 | -0.01 |
Persistence:
1.000
Half-life:
138629 days
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