V-Lab
Mawana Sugars 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 Monday, September 21st, 2026
1 Day
826.03
increased by 94.00
1 Week
785.87
increased by 53.84
1 Month
939.73
increased by 207.70
Analysis last updated: Saturday, September 19, 2026 at 10:21 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 3, 1997 to Sep 18, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 173286 trading days (~687.6 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 ~173286 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.4142 | 0.06 |
| αARCH | 0.1194 | 0.02 |
| βGARCH | 0.8806 | 0.11 |
Spline Coefficients
K=1
| γ1 | -0.0163 | -0.01 |
1.000
Persistence173286d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4142 | 0.06 |
α ARCH Response to squared shocks | 0.1194 | 0.02 |
β GARCH Volatility persistence | 0.8806 | 0.11 |
Spline Coefficients
K=1
| γ1 | -0.0163 | -0.01 |
Persistence:
1.000
Half-life:
173286 days
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