V-Lab
Rabbit Holdings PCL 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 Monday, September 21st, 2026
1 Day
13,064.72
increased by 4,158.70
1 Week
11,135.99
increased by 2,229.97
1 Month
12,944.18
increased by 4,038.16
Analysis last updated: Sunday, September 20, 2026 at 03:35 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 24, 1994 to Sep 18, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 138629 trading days (~550.1 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 ~138629 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.4180 | 0.00 |
| αARCH | 0.2498 | 0.00 |
| βGARCH | 0.7502 | 0.00 |
Spline Coefficients
K=10
| γ1 | 0.3012 | 0.00 |
| γ2 | -0.5233 | 0.00 |
| γ3 | 0.5571 | 0.00 |
| γ4 | -0.7719 | 0.00 |
| γ5 | 0.3590 | 0.00 |
| γ6 | 0.3271 | 0.00 |
| γ7 | -0.6633 | 0.00 |
| γ8 | 0.5059 | 0.00 |
| γ9 | 0.5372 | 0.00 |
| γ10 | -1.0328 | 0.00 |
1.000
Persistence138629d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4180 | 0.00 |
α ARCH Response to squared shocks | 0.2498 | 0.00 |
β GARCH Volatility persistence | 0.7502 | 0.00 |
Spline Coefficients
K=10
| γ1 | 0.3012 | 0.00 |
| γ2 | -0.5233 | 0.00 |
| γ3 | 0.5571 | 0.00 |
| γ4 | -0.7719 | 0.00 |
| γ5 | 0.3590 | 0.00 |
| γ6 | 0.3271 | 0.00 |
| γ7 | -0.6633 | 0.00 |
| γ8 | 0.5059 | 0.00 |
| γ9 | 0.5372 | 0.00 |
| γ10 | -1.0328 | 0.00 |
Persistence:
1.000
Half-life:
138629 days
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