V-Lab
Mannai Corp QSC 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
10,502.68
increased by 4,787.01
1 Week
5,940.78
increased by 225.11
1 Month
3,845.25
decreased by 1,870.42
Analysis last updated: Friday, July 24, 2026 at 08:06 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Aug 25, 2007 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 | 39.8977 | 0.00 |
α ARCH Response to squared shocks | 0.2229 | 0.00 |
β GARCH Volatility persistence | 0.7771 | 0.00 |
Spline Coefficients
K=8
| γ1 | -4.4278 | -0.02 |
| γ2 | 7.7631 | 0.01 |
| γ3 | -4.8884 | -0.01 |
| γ4 | 1.5224 | 0.00 |
| γ5 | 0.9021 | 0.00 |
| γ6 | -5.7773 | -0.01 |
| γ7 | 11.4438 | 0.00 |
| γ8 | -8.5340 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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