Obsidian Energy 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 Monday, July 20th, 2026
1 Day
6,076.49
increased by 388.15
1 Week
5,722.10
increased by 33.76
1 Month
5,243.88
decreased by 444.46
Analysis last updated: Friday, July 17, 2026 at 11:29 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Aug 26, 2004 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 63013 trading days (~250.1 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 | 1.0371 | 5.29*** |
α ARCH Response to squared shocks | 0.1351 | 2.09** |
β GARCH Volatility persistence | 0.8649 | 13.40*** |
Spline Coefficients
K=1
| γ1 | -0.0060 | -0.69 |
Persistence:
1.000
Half-life:
63013 days
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