Palash Securities 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 Thursday, October 29th, 2026
1 Day
591,092.50
decreased by 147,310.30
1 Week
822,169.42
increased by 83,766.62
1 Month
951,762.63
increased by 213,359.83
Analysis last updated: Thursday, October 29, 2026 at 10:35 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 28, 2017 to Oct 23, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 69314 trading days (~275.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
High persistence: persistence 1.000, shock half-life ~69314 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.7651 | 0.00 |
| αARCH | 0.4189 | 0.00 |
| βGARCH | 0.5811 | 0.00 |
Spline Coefficients
K=10
| γ1 | -0.0073 | 0.00 |
| γ2 | -4.6527 | -0.02 |
| γ3 | 7.9935 | 0.03 |
| γ4 | -10.9396 | -0.02 |
| γ5 | 17.5894 | 0.02 |
| γ6 | -21.5328 | -0.03 |
| γ7 | 22.7529 | 0.07 |
| γ8 | -15.4345 | -0.22 |
| γ9 | 6.2475 | 0.03 |
| γ10 | -2.9158 | -0.01 |
1.000
Persistence69314d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.7651 | 0.00 |
α ARCH Response to squared shocks | 0.4189 | 0.00 |
β GARCH Volatility persistence | 0.5811 | 0.00 |
Spline Coefficients
K=10
| γ1 | -0.0073 | 0.00 |
| γ2 | -4.6527 | -0.02 |
| γ3 | 7.9935 | 0.03 |
| γ4 | -10.9396 | -0.02 |
| γ5 | 17.5894 | 0.02 |
| γ6 | -21.5328 | -0.03 |
| γ7 | 22.7529 | 0.07 |
| γ8 | -15.4345 | -0.22 |
| γ9 | 6.2475 | 0.03 |
| γ10 | -2.9158 | -0.01 |
Persistence:
1.000
Half-life:
69314 days
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