Science Group PLC 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, October 12th, 2026
1 Day
5,963.75
increased by 3,759.13
1 Week
3,028.09
increased by 823.47
1 Month
2,804.62
increased by 600.00
Analysis last updated: Sunday, October 11, 2026 at 02:33 AM UTC
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How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 8, 2008 to Oct 9, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 115524 trading days (~458.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
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High persistence: persistence 1.000, shock half-life ~115524 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 14.3389 | 0.00 |
| αARCH | 0.0574 | 0.00 |
| βGARCH | 0.9426 | 0.00 |
Spline Coefficients
K=10
| γ1 | 0.0444 | 0.00 |
| γ2 | -0.0770 | 0.00 |
| γ3 | 0.2628 | 0.00 |
| γ4 | -0.8948 | 0.00 |
| γ5 | 2.3797 | 0.00 |
| γ6 | -4.0464 | 0.00 |
| γ7 | 4.0479 | 0.00 |
| γ8 | -2.7998 | 0.00 |
| γ9 | 1.8271 | 0.00 |
| γ10 | -1.1431 | -0.01 |
1.000
Persistence115524d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 14.3389 | 0.00 |
α ARCH Response to squared shocks | 0.0574 | 0.00 |
β GARCH Volatility persistence | 0.9426 | 0.00 |
Spline Coefficients
K=10
| γ1 | 0.0444 | 0.00 |
| γ2 | -0.0770 | 0.00 |
| γ3 | 0.2628 | 0.00 |
| γ4 | -0.8948 | 0.00 |
| γ5 | 2.3797 | 0.00 |
| γ6 | -4.0464 | 0.00 |
| γ7 | 4.0479 | 0.00 |
| γ8 | -2.7998 | 0.00 |
| γ9 | 1.8271 | 0.00 |
| γ10 | -1.1431 | -0.01 |
Persistence:
1.000
Half-life:
115524 days
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