V-Lab
Savimex Corporation 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
4,871.85
decreased by 234.47
1 Week
5,159.01
increased by 52.69
1 Month
4,800.01
decreased by 306.31
Analysis last updated: Sunday, September 20, 2026 at 03:34 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 13, 2008 to Sep 18, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 77016 trading days (~305.6 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 ~77016 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.4590 | 0.01 |
| αARCH | 0.1512 | 0.00 |
| βGARCH | 0.8488 | 0.01 |
Spline Coefficients
K=10
| γ1 | 0.9866 | 0.00 |
| γ2 | -1.9364 | 0.00 |
| γ3 | 0.7675 | 0.00 |
| γ4 | 0.3035 | 0.00 |
| γ5 | -0.2347 | 0.00 |
| γ6 | 0.4424 | 0.00 |
| γ7 | -4.3804 | 0.00 |
| γ8 | 10.0016 | 0.00 |
| γ9 | -7.3687 | 0.00 |
| γ10 | 1.5317 | 0.00 |
1.000
Persistence77016d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4590 | 0.01 |
α ARCH Response to squared shocks | 0.1512 | 0.00 |
β GARCH Volatility persistence | 0.8488 | 0.01 |
Spline Coefficients
K=10
| γ1 | 0.9866 | 0.00 |
| γ2 | -1.9364 | 0.00 |
| γ3 | 0.7675 | 0.00 |
| γ4 | 0.3035 | 0.00 |
| γ5 | -0.2347 | 0.00 |
| γ6 | 0.4424 | 0.00 |
| γ7 | -4.3804 | 0.00 |
| γ8 | 10.0016 | 0.00 |
| γ9 | -7.3687 | 0.00 |
| γ10 | 1.5317 | 0.00 |
Persistence:
1.000
Half-life:
77016 days
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