Regency Fincorp Ltd Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Thursday, July 9th, 2026
1 Day
14,702.83
increased by 12,236.02
1 Week
5,487.51
increased by 3,020.70
1 Month
5,999.96
increased by 3,533.15
Analysis last updated: Thursday, July 9, 2026 at 07:07 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 27, 2016 to Jul 3, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2733 | 0.00 |
α ARCH Response to squared shocks | 0.2958 | 0.00 |
β GARCH Volatility persistence | 0.7042 | 0.00 |
Spline Coefficients
K=10
| γ1 | -24.4087 | 0.00 |
| γ2 | 77.1354 | 0.00 |
| γ3 | -77.9178 | 0.00 |
| γ4 | 21.9082 | 0.00 |
| γ5 | -2.2198 | 0.00 |
| γ6 | 14.2920 | 0.10 |
| γ7 | -13.0634 | -0.01 |
| γ8 | 4.7583 | 0.00 |
| γ9 | 0.3211 | 0.00 |
| γ10 | -1.6001 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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