Mehai Tchnlgy Ltd 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 Thursday, October 22nd, 2026
1 Day
24,691.71
decreased by 768.74
1 Week
25,840.57
increased by 380.12
1 Month
33,170.19
increased by 7,709.74
Analysis last updated: Thursday, October 22, 2026 at 07:01 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 9, 2017 to Oct 19, 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
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High persistence: persistence 1.000, shock half-life ~99021 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.2550 | 0.00 |
| αARCH | 0.3023 | 0.00 |
| βGARCH | 0.6977 | 0.00 |
Spline Coefficients
K=7
| γ1 | -14.9219 | 0.00 |
| γ2 | 20.0597 | 0.00 |
| γ3 | -19.0052 | 0.00 |
| γ4 | 33.1423 | 0.00 |
| γ5 | -26.3624 | 0.00 |
| γ6 | 6.3920 | 0.00 |
| γ7 | 1.7314 | 0.00 |
1.000
Persistence99021d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2550 | 0.00 |
α ARCH Response to squared shocks | 0.3023 | 0.00 |
β GARCH Volatility persistence | 0.6977 | 0.00 |
Spline Coefficients
K=7
| γ1 | -14.9219 | 0.00 |
| γ2 | 20.0597 | 0.00 |
| γ3 | -19.0052 | 0.00 |
| γ4 | 33.1423 | 0.00 |
| γ5 | -26.3624 | 0.00 |
| γ6 | 6.3920 | 0.00 |
| γ7 | 1.7314 | 0.00 |
Persistence:
1.000
Half-life:
99021 days
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