Masood Textile Mills Ltd 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 Wednesday, July 22nd, 2026
1 Day
5,329.28
increased by 195.43
1 Week
5,938.88
increased by 805.03
1 Month
5,658.33
increased by 524.48
Analysis last updated: Wednesday, July 22, 2026 at 08:08 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Mar 29, 2005 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 115524 trading days (~458.4 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 | 0.4957 | 0.03 |
α ARCH Response to squared shocks | 0.2014 | 0.00 |
β GARCH Volatility persistence | 0.7986 | 0.00 |
Spline Coefficients
K=6
| γ1 | -4.9225 | -0.01 |
| γ2 | 6.2489 | 0.00 |
| γ3 | -1.0864 | 0.00 |
| γ4 | -0.5187 | 0.00 |
| γ5 | 0.3857 | 0.00 |
| γ6 | -1.0859 | 0.00 |
Persistence:
1.000
Half-life:
115524 days
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