Melstacorp Plc Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Friday, November 6th, 2026
1 Day
9,367.00
increased by 5,371.84
1 Week
5,249.90
increased by 1,254.74
1 Month
5,031.48
increased by 1,036.32
Analysis last updated: Friday, November 6, 2026 at 09:58 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 2, 2017 to Nov 2, 2026Model Insight
With persistence 0.992, illiquidity shocks have a half-life of 88 trading days (~0.3 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 0.992, shock half-life ~88 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.5564 | 3.10*** |
| αARCH | 0.2899 | 9.24*** |
| βGARCH | 0.7022 | 21.15*** |
Spline Coefficients
K=10
| γ1 | 1.4711 | 0.79 |
| γ2 | -3.2060 | -1.07 |
| γ3 | 1.9159 | 0.76 |
| γ4 | -12.4766 | -2.31** |
| γ5 | 35.2634 | 3.37*** |
| γ6 | -34.5397 | -3.66*** |
| γ7 | 14.4769 | 3.61*** |
| γ8 | -7.9161 | -2.92*** |
| γ9 | 9.9615 | 3.70*** |
| γ10 | -6.4907 | -2.35** |
0.992
Persistence88d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.5564 | 3.10*** |
α ARCH Response to squared shocks | 0.2899 | 9.24*** |
β GARCH Volatility persistence | 0.7022 | 21.15*** |
Spline Coefficients
K=10
| γ1 | 1.4711 | 0.79 |
| γ2 | -3.2060 | -1.07 |
| γ3 | 1.9159 | 0.76 |
| γ4 | -12.4766 | -2.31** |
| γ5 | 35.2634 | 3.37*** |
| γ6 | -34.5397 | -3.66*** |
| γ7 | 14.4769 | 3.61*** |
| γ8 | -7.9161 | -2.92*** |
| γ9 | 9.9615 | 3.70*** |
| γ10 | -6.4907 | -2.35** |
Persistence:
0.992
Half-life:
88 days
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