V-Lab
Nanosonics 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 Friday, September 11th, 2026
1 Day
6,851.17
increased by 879.73
1 Week
6,214.46
increased by 243.02
1 Month
9,040.09
increased by 3,068.65
Analysis last updated: Friday, September 11, 2026 at 05:55 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
May 17, 2007 to Sep 4, 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 | 0.5405 | 0.03 |
| αARCH | 0.1146 | 0.00 |
| βGARCH | 0.8854 | 0.03 |
Spline Coefficients
K=3
| γ1 | -0.3942 | -0.01 |
| γ2 | 0.5293 | 0.01 |
| γ3 | -0.1414 | -0.01 |
1.000
Persistence77016d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5405 | 0.03 |
α ARCH Response to squared shocks | 0.1146 | 0.00 |
β GARCH Volatility persistence | 0.8854 | 0.03 |
Spline Coefficients
K=3
| γ1 | -0.3942 | -0.01 |
| γ2 | 0.5293 | 0.01 |
| γ3 | -0.1414 | -0.01 |
Persistence:
1.000
Half-life:
77016 days
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