V-Lab
Lindian Resources 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, October 5th, 2026
1 Day
4,384.74
decreased by 380.92
1 Week
4,577.73
decreased by 187.93
1 Month
4,037.85
decreased by 727.81
Analysis last updated: Saturday, October 3, 2026 at 06:07 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Mar 2, 2000 to Oct 2, 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
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High persistence: persistence 1.000, shock half-life ~86643 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.3272 | 0.01 |
| αARCH | 0.0941 | 0.00 |
| βGARCH | 0.9059 | 0.01 |
Spline Coefficients
K=10
| γ1 | 1.2055 | 0.00 |
| γ2 | -2.1953 | 0.00 |
| γ3 | -1.1090 | 0.00 |
| γ4 | 5.7926 | 0.00 |
| γ5 | -4.9350 | 0.00 |
| γ6 | -1.0460 | 0.00 |
| γ7 | 2.6563 | 0.00 |
| γ8 | 3.5080 | 0.00 |
| γ9 | -7.5560 | 0.00 |
| γ10 | 3.7273 | 0.00 |
1.000
Persistence86643d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3272 | 0.01 |
α ARCH Response to squared shocks | 0.0941 | 0.00 |
β GARCH Volatility persistence | 0.9059 | 0.01 |
Spline Coefficients
K=10
| γ1 | 1.2055 | 0.00 |
| γ2 | -2.1953 | 0.00 |
| γ3 | -1.1090 | 0.00 |
| γ4 | 5.7926 | 0.00 |
| γ5 | -4.9350 | 0.00 |
| γ6 | -1.0460 | 0.00 |
| γ7 | 2.6563 | 0.00 |
| γ8 | 3.5080 | 0.00 |
| γ9 | -7.5560 | 0.00 |
| γ10 | 3.7273 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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