Nodestream Ltd Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, October 19th, 2026
1 Day
94,911,170.00
increased by 24,290.00
1 Week
90,797,254.00
decreased by 4,089,626.00
1 Month
72,082,419.47
decreased by 22,804,460.53
Analysis last updated: Saturday, October 17, 2026 at 06:18 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 Oct 16, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 1627 trading days (~6.5 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 ~1627 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7526 | 5.54*** |
| αARCH | 0.0000 | 0.00 |
| βGARCH | 0.9996 | 137.36*** |
Spline Coefficients
K=10
| γ1 | -6.3890 | -2.41** |
| γ2 | 8.7658 | 2.81*** |
| γ3 | -7.1225 | -3.04*** |
| γ4 | 8.4204 | 3.36*** |
| γ5 | -1.6909 | -0.89 |
| γ6 | -2.6800 | -1.44 |
| γ7 | 0.0622 | 0.03 |
| γ8 | -0.7799 | -0.41 |
| γ9 | 0.7044 | 0.36 |
| γ10 | 6.5654 | 2.83*** |
1.000
Persistence1627d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7526 | 5.54*** |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.9996 | 137.36*** |
Spline Coefficients
K=10
| γ1 | -6.3890 | -2.41** |
| γ2 | 8.7658 | 2.81*** |
| γ3 | -7.1225 | -3.04*** |
| γ4 | 8.4204 | 3.36*** |
| γ5 | -1.6909 | -0.89 |
| γ6 | -2.6800 | -1.44 |
| γ7 | 0.0622 | 0.03 |
| γ8 | -0.7799 | -0.41 |
| γ9 | 0.7044 | 0.36 |
| γ10 | 6.5654 | 2.83*** |
Persistence:
1.000
Half-life:
1627 days
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