Panasian Power 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 Wednesday, July 15th, 2026
1 Day
7,543.30
increased by 3,839.11
1 Week
4,174.90
increased by 470.71
1 Month
3,194.24
decreased by 509.95
Analysis last updated: Wednesday, July 15, 2026 at 08:41 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 10, 2011 to Jul 10, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 77016 trading days (~305.6 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 | 0.7241 | 0.01 |
α ARCH Response to squared shocks | 0.1796 | 0.00 |
β GARCH Volatility persistence | 0.8204 | 0.00 |
Spline Coefficients
K=10
| γ1 | -1.5084 | 0.00 |
| γ2 | 1.2410 | 0.00 |
| γ3 | 0.6566 | 0.00 |
| γ4 | -1.1535 | -0.01 |
| γ5 | 1.2445 | 0.01 |
| γ6 | -2.5841 | -0.01 |
| γ7 | 2.7215 | 0.00 |
| γ8 | 3.9598 | 0.00 |
| γ9 | -10.7993 | -0.01 |
| γ10 | 10.8723 | 0.00 |
Persistence:
1.000
Half-life:
77016 days
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