V-Lab
Mirae Jsc Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Friday, October 2nd, 2026
1 Day
6,820.65
increased by 4,694.09
1 Week
3,113.04
increased by 986.48
1 Month
1,946.43
decreased by 180.13
Analysis last updated: Friday, October 2, 2026 at 09:27 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 22, 2009 to Sep 25, 2026Model Insight
With persistence 0.991, illiquidity shocks have a half-life of 78 trading days (~0.3 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 0.991, shock half-life ~78 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2639 | 4.97*** |
| αARCH | 0.1719 | 11.09*** |
| βGARCH | 0.8193 | 58.27*** |
Spline Coefficients
K=10
| γ1 | 0.6567 | 1.35 |
| γ2 | -0.7496 | -0.91 |
| γ3 | -1.2054 | -1.41 |
| γ4 | 3.4951 | 3.51*** |
| γ5 | -3.4170 | -4.23*** |
| γ6 | 2.0072 | 2.85*** |
| γ7 | -3.4148 | -2.63*** |
| γ8 | 6.1627 | 3.10*** |
| γ9 | -5.1879 | -3.17*** |
| γ10 | 2.6745 | 3.36*** |
0.991
Persistence78d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2639 | 4.97*** |
α ARCH Response to squared shocks | 0.1719 | 11.09*** |
β GARCH Volatility persistence | 0.8193 | 58.27*** |
Spline Coefficients
K=10
| γ1 | 0.6567 | 1.35 |
| γ2 | -0.7496 | -0.91 |
| γ3 | -1.2054 | -1.41 |
| γ4 | 3.4951 | 3.51*** |
| γ5 | -3.4170 | -4.23*** |
| γ6 | 2.0072 | 2.85*** |
| γ7 | -3.4148 | -2.63*** |
| γ8 | 6.1627 | 3.10*** |
| γ9 | -5.1879 | -3.17*** |
| γ10 | 2.6745 | 3.36*** |
Persistence:
0.991
Half-life:
78 days
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