V-Lab
PPHE Hotel Group Limited Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, July 27th, 2026
1 Day
41,150.26
decreased by 5,740.08
1 Week
42,464.52
decreased by 4,425.82
1 Month
42,466.63
decreased by 4,423.71
Analysis last updated: Sunday, July 26, 2026 at 06:32 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 11, 2007 to Jul 24, 2026Model Insight
This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 3 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7763 | 2.77*** |
α ARCH Response to squared shocks | 0.1320 | 3.74*** |
β GARCH Volatility persistence | 0.6797 | 8.52*** |
Spline Coefficients
K=9
| γ1 | -1.9100 | -6.48*** |
| γ2 | 2.5881 | 6.47*** |
| γ3 | -0.6909 | -2.95*** |
| γ4 | -0.0401 | -0.15 |
| γ5 | 0.0405 | 0.12 |
| γ6 | 1.0002 | 2.28** |
| γ7 | -2.5847 | -3.42*** |
| γ8 | 2.0892 | 2.20** |
| γ9 | -0.0466 | -0.05 |
Persistence:
0.812
Half-life:
3 days
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