Jordan Telecommunications Co PSC 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, November 11th, 2026
1 Day
332,343.90
decreased by 10,650.70
1 Week
343,479.54
increased by 484.94
1 Month
276,318.08
decreased by 66,676.52
Analysis last updated: Wednesday, November 11, 2026 at 08:41 PM UTC
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How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 22, 2004 to Nov 5, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 77016 trading days (~305.6 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 ~77016 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 8.0474 | 0.00 |
| αARCH | 0.2659 | 0.00 |
| βGARCH | 0.7341 | 0.00 |
Spline Coefficients
K=10
| γ1 | -2.1006 | 0.00 |
| γ2 | 3.4151 | 0.00 |
| γ3 | -1.9371 | -0.01 |
| γ4 | 0.6757 | 0.01 |
| γ5 | -0.0098 | 0.00 |
| γ6 | 0.0017 | 0.00 |
| γ7 | 0.1810 | 0.00 |
| γ8 | -3.1329 | -0.05 |
| γ9 | 6.9452 | 0.02 |
| γ10 | -4.2176 | 0.00 |
1.000
Persistence77016d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 8.0474 | 0.00 |
α ARCH Response to squared shocks | 0.2659 | 0.00 |
β GARCH Volatility persistence | 0.7341 | 0.00 |
Spline Coefficients
K=10
| γ1 | -2.1006 | 0.00 |
| γ2 | 3.4151 | 0.00 |
| γ3 | -1.9371 | -0.01 |
| γ4 | 0.6757 | 0.01 |
| γ5 | -0.0098 | 0.00 |
| γ6 | 0.0017 | 0.00 |
| γ7 | 0.1810 | 0.00 |
| γ8 | -3.1329 | -0.05 |
| γ9 | 6.9452 | 0.02 |
| γ10 | -4.2176 | 0.00 |
Persistence:
1.000
Half-life:
77016 days
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