V-Lab
Le Merite Exports Limited 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 Monday, July 27th, 2026
1 Day
2,291.18
decreased by 295.22
1 Week
2,651.49
increased by 65.09
1 Month
2,365.77
decreased by 220.63
Analysis last updated: Sunday, July 26, 2026 at 01:29 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
May 9, 2022 to Jul 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 | 0.5623 | 0.03 |
α ARCH Response to squared shocks | 0.2427 | 0.00 |
β GARCH Volatility persistence | 0.7573 | 0.01 |
Spline Coefficients
K=1
| γ1 | -0.8410 | 0.00 |
Persistence:
1.000
Half-life:
99021 days
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