Lubawa Sa Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Wednesday, July 15th, 2026
1 Day
5,479.43
increased by 452.60
1 Week
5,126.51
increased by 99.68
1 Month
4,318.64
decreased by 708.19
Analysis last updated: Wednesday, July 15, 2026 at 08:25 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 30, 1996 to Jul 10, 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 | 0.8191 | 0.00 |
α ARCH Response to squared shocks | 0.1033 | 0.00 |
β GARCH Volatility persistence | 0.8967 | 0.00 |
Spline Coefficients
K=9
| γ1 | 0.2030 | 0.00 |
| γ2 | -1.5153 | 0.00 |
| γ3 | 2.4157 | 0.02 |
| γ4 | -1.5247 | 0.00 |
| γ5 | 0.5872 | 0.00 |
| γ6 | -0.1281 | 0.00 |
| γ7 | -0.1943 | 0.00 |
| γ8 | 0.1775 | 0.00 |
| γ9 | -0.0078 | 0.00 |
Persistence:
1.000
Half-life:
99021 days
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