Pan Asia Bkg Corp 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 Wednesday, July 8th, 2026
1 Day
10,955.42
increased by 9,041.34
1 Week
4,118.29
increased by 2,204.21
1 Month
2,967.31
increased by 1,053.23
Analysis last updated: Wednesday, July 8, 2026 at 11:10 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Sep 28, 2009 to Jul 3, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 86643 trading days (~343.8 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 | 0.7607 | 0.02 |
α ARCH Response to squared shocks | 0.2280 | 0.00 |
β GARCH Volatility persistence | 0.7720 | 0.00 |
Spline Coefficients
K=8
| γ1 | 1.2556 | 0.00 |
| γ2 | -2.8097 | 0.00 |
| γ3 | 1.9984 | 0.00 |
| γ4 | -0.1753 | -0.01 |
| γ5 | -1.5210 | -0.01 |
| γ6 | 2.2563 | 0.01 |
| γ7 | -1.5236 | -0.01 |
| γ8 | 1.4184 | 0.01 |
Persistence:
1.000
Half-life:
86643 days
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