Asuransi Jiwa Syar 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 Tuesday, June 30th, 2026
1 Day
614.05
decreased by 197.40
1 Week
568.20
decreased by 243.25
1 Month
243.35
decreased by 568.10
Analysis last updated: Wednesday, September 2, 2026 at 05:13 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Dec 18, 2017 to Jun 29, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 8060 trading days (~32.0 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 ~8060 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2399 | 1.36 |
| αARCH | 0.3586 | 3.60*** |
| βGARCH | 0.6413 | 6.44*** |
Spline Coefficients
K=4
| γ1 | -4.4988 | -15.66*** |
| γ2 | 5.8271 | 11.56*** |
| γ3 | -1.2105 | -2.32** |
| γ4 | -0.4844 | -0.74 |
1.000
Persistence8060d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2399 | 1.36 |
α ARCH Response to squared shocks | 0.3586 | 3.60*** |
β GARCH Volatility persistence | 0.6413 | 6.44*** |
Spline Coefficients
K=4
| γ1 | -4.4988 | -15.66*** |
| γ2 | 5.8271 | 11.56*** |
| γ3 | -1.2105 | -2.32** |
| γ4 | -0.4844 | -0.74 |
Persistence:
1.000
Half-life:
8060 days
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