V-Lab
Reach Subsea Asa Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, July 27th, 2026
1 Day
26,044.90
increased by 83.16
1 Week
26,497.46
increased by 535.72
1 Month
23,658.82
decreased by 2,302.92
Analysis last updated: Sunday, July 26, 2026 at 04:38 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 5, 1992 to Jul 24, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 522 trading days (~2.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 26.5150 | 2.79*** |
α ARCH Response to squared shocks | 0.0791 | 6.37*** |
β GARCH Volatility persistence | 0.9195 | 74.53*** |
Spline Coefficients
K=9
| γ1 | -0.4239 | -0.56 |
| γ2 | 0.9803 | 0.64 |
| γ3 | -0.0292 | -0.02 |
| γ4 | -0.9219 | -0.87 |
| γ5 | 2.2639 | 2.13** |
| γ6 | -4.4358 | -4.20*** |
| γ7 | 3.6561 | 6.03*** |
| γ8 | -1.6307 | -6.33*** |
| γ9 | 1.2023 | 3.70*** |
Persistence:
0.999
Half-life:
522 days
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