V-Lab
Misr Oils & Soap 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 Tuesday, September 15th, 2026
1 Day
6,997.89
increased by 5,327.93
1 Week
2,719.47
increased by 1,049.51
1 Month
1,528.75
decreased by 141.21
Analysis last updated: Wednesday, September 16, 2026 at 05:25 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Mar 29, 2002 to Sep 10, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 77016 trading days (~305.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
High persistence: persistence 1.000, shock half-life ~77016 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.0622 | 0.00 |
| αARCH | 0.2175 | 0.00 |
| βGARCH | 0.7825 | 0.00 |
Spline Coefficients
K=8
| γ1 | 0.4330 | 0.00 |
| γ2 | -1.0386 | 0.00 |
| γ3 | 1.2986 | 0.00 |
| γ4 | -1.4404 | 0.00 |
| γ5 | 1.0151 | 0.00 |
| γ6 | -1.1401 | -0.01 |
| γ7 | 2.0628 | 0.01 |
| γ8 | -3.6081 | -0.10 |
1.000
Persistence77016d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0622 | 0.00 |
α ARCH Response to squared shocks | 0.2175 | 0.00 |
β GARCH Volatility persistence | 0.7825 | 0.00 |
Spline Coefficients
K=8
| γ1 | 0.4330 | 0.00 |
| γ2 | -1.0386 | 0.00 |
| γ3 | 1.2986 | 0.00 |
| γ4 | -1.4404 | 0.00 |
| γ5 | 1.0151 | 0.00 |
| γ6 | -1.1401 | -0.01 |
| γ7 | 2.0628 | 0.01 |
| γ8 | -3.6081 | -0.10 |
Persistence:
1.000
Half-life:
77016 days
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