Maskapai Reasuransi Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Tuesday, June 30th, 2026
1 Day
9,353.12
increased by 8,688.67
1 Week
2,256.10
increased by 1,591.65
1 Month
837.87
increased by 173.42
Analysis last updated: Tuesday, June 30, 2026 at 08:25 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 27, 1995 to Jun 26, 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 | 1.1322 | 0.15 |
α ARCH Response to squared shocks | 0.1328 | 0.00 |
β GARCH Volatility persistence | 0.8672 | 0.02 |
Spline Coefficients
K=7
| γ1 | -1.7409 | 0.00 |
| γ2 | 2.0360 | 0.00 |
| γ3 | -0.9977 | 0.00 |
| γ4 | 1.4649 | 0.01 |
| γ5 | -1.1862 | -0.01 |
| γ6 | 0.3914 | 0.00 |
| γ7 | 0.0716 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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