V-Lab
Js Bank Ltd 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 Wednesday, August 26th, 2026
1 Day
8,739.00
increased by 5,038.10
1 Week
4,089.54
increased by 388.64
1 Month
2,012.39
decreased by 1,688.51
Analysis last updated: Tuesday, August 25, 2026 at 08:09 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Mar 13, 2007 to Aug 24, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 99021 trading days (~392.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6.8492 | 0.00 |
α ARCH Response to squared shocks | 0.2408 | 0.00 |
β GARCH Volatility persistence | 0.7592 | 0.00 |
Spline Coefficients
K=10
| γ1 | -2.4710 | 0.00 |
| γ2 | 4.2442 | 0.00 |
| γ3 | -8.9621 | 0.00 |
| γ4 | 19.7006 | 0.00 |
| γ5 | -22.0456 | 0.00 |
| γ6 | 12.5515 | 0.00 |
| γ7 | -0.3393 | 0.00 |
| γ8 | -6.0121 | 0.00 |
| γ9 | 3.4289 | 0.00 |
| γ10 | 0.6580 | 0.00 |
Persistence:
1.000
Half-life:
99021 days
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