Nodestream Ltd Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, November 9th, 2026
1 Day
123,802,100.00
increased by 30,000.00
1 Week
120,365,225.00
decreased by 3,406,875.00
1 Month
92,317,264.50
decreased by 31,454,835.50
Analysis last updated: Saturday, November 7, 2026 at 07:02 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
May 12, 2016 to Nov 6, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 1497 trading days (~5.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
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High persistence: persistence 1.000, shock half-life ~1497 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7547 | 5.50*** |
| αARCH | 0.0000 | 0.00 |
| βGARCH | 0.9995 | 135.71*** |
Spline Coefficients
K=10
| γ1 | -6.2500 | -2.49** |
| γ2 | 8.5710 | 2.85*** |
| γ3 | -7.0090 | -2.99*** |
| γ4 | 8.3866 | 3.31*** |
| γ5 | -1.7312 | -0.89 |
| γ6 | -2.7581 | -1.44 |
| γ7 | 0.2324 | 0.12 |
| γ8 | -0.9782 | -0.50 |
| γ9 | 1.1357 | 0.58 |
| γ10 | 5.9770 | 2.72*** |
1.000
Persistence1497d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7547 | 5.50*** |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.9995 | 135.71*** |
Spline Coefficients
K=10
| γ1 | -6.2500 | -2.49** |
| γ2 | 8.5710 | 2.85*** |
| γ3 | -7.0090 | -2.99*** |
| γ4 | 8.3866 | 3.31*** |
| γ5 | -1.7312 | -0.89 |
| γ6 | -2.7581 | -1.44 |
| γ7 | 0.2324 | 0.12 |
| γ8 | -0.9782 | -0.50 |
| γ9 | 1.1357 | 0.58 |
| γ10 | 5.9770 | 2.72*** |
Persistence:
1.000
Half-life:
1497 days
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