V-Lab
Peker Gayrimenkul 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, September 24th, 2026
1 Day
22,955.88
increased by 9,522.33
1 Week
10,762.22
decreased by 2,671.33
1 Month
2,512.99
decreased by 10,920.56
Analysis last updated: Thursday, September 24, 2026 at 08:33 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Feb 21, 2018 to Sep 18, 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
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High persistence: persistence 1.000, shock half-life ~86643 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7055 | 0.03 |
| αARCH | 0.2650 | 0.00 |
| βGARCH | 0.7350 | 0.01 |
Spline Coefficients
K=5
| γ1 | -0.5134 | -0.10 |
| γ2 | 2.0337 | 0.02 |
| γ3 | -1.5181 | 0.00 |
| γ4 | -5.1308 | -0.03 |
| γ5 | 16.7003 | 0.01 |
1.000
Persistence86643d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7055 | 0.03 |
α ARCH Response to squared shocks | 0.2650 | 0.00 |
β GARCH Volatility persistence | 0.7350 | 0.01 |
Spline Coefficients
K=5
| γ1 | -0.5134 | -0.10 |
| γ2 | 2.0337 | 0.02 |
| γ3 | -1.5181 | 0.00 |
| γ4 | -5.1308 | -0.03 |
| γ5 | 16.7003 | 0.01 |
Persistence:
1.000
Half-life:
86643 days
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