V-Lab
Libra Infusions 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 Sunday, July 26th, 2026
1 Day
1,650.30
increased by 72.39
1 Week
1,812.62
increased by 234.71
1 Month
1,450.30
decreased by 127.61
Analysis last updated: Friday, July 24, 2026 at 06:02 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 12, 2009 to Jul 23, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 86643 trading days (~343.8 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 | 1.6441 | 0.00 |
α ARCH Response to squared shocks | 0.2522 | 0.00 |
β GARCH Volatility persistence | 0.7478 | 0.00 |
Spline Coefficients
K=10
| γ1 | -2.0890 | 0.00 |
| γ2 | 10.5409 | 0.00 |
| γ3 | -20.8314 | 0.00 |
| γ4 | 15.2816 | 0.00 |
| γ5 | 0.8578 | 0.00 |
| γ6 | -4.4056 | 0.00 |
| γ7 | 9.4227 | 0.00 |
| γ8 | -30.2303 | 0.00 |
| γ9 | 44.3830 | 0.00 |
| γ10 | -36.8927 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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