V-Lab
Supra Boga Lestari Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Thursday, September 10th, 2026
1 Day
412.18
decreased by 1.34
1 Week
374.52
decreased by 39.00
1 Month
520.87
increased by 107.35
Analysis last updated: Thursday, September 10, 2026 at 09:13 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 7, 2012 to Sep 4, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 3381 trading days (~13.4 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 ~3381 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8127 | 5.17*** |
| αARCH | 0.2891 | 3.66*** |
| βGARCH | 0.7107 | 8.99*** |
Spline Coefficients
K=9
| γ1 | 2.4661 | 1.67* |
| γ2 | -3.9915 | -2.01** |
| γ3 | 0.6823 | 0.93 |
| γ4 | 2.6156 | 4.23*** |
| γ5 | -5.9648 | -7.65*** |
| γ6 | 8.7082 | 13.34*** |
| γ7 | -5.1008 | -7.30*** |
| γ8 | -1.3157 | -1.53 |
| γ9 | 1.6424 | 0.59 |
1.000
Persistence3381d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8127 | 5.17*** |
α ARCH Response to squared shocks | 0.2891 | 3.66*** |
β GARCH Volatility persistence | 0.7107 | 8.99*** |
Spline Coefficients
K=9
| γ1 | 2.4661 | 1.67* |
| γ2 | -3.9915 | -2.01** |
| γ3 | 0.6823 | 0.93 |
| γ4 | 2.6156 | 4.23*** |
| γ5 | -5.9648 | -7.65*** |
| γ6 | 8.7082 | 13.34*** |
| γ7 | -5.1008 | -7.30*** |
| γ8 | -1.3157 | -1.53 |
| γ9 | 1.6424 | 0.59 |
Persistence:
1.000
Half-life:
3381 days
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