Savimex Corporation 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 Monday, July 20th, 2026
1 Day
9,047.07
increased by 5,949.70
1 Week
3,982.56
increased by 885.19
1 Month
3,371.67
increased by 274.30
Analysis last updated: Sunday, July 19, 2026 at 04:03 AM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jun 13, 2008 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 36481 trading days (~144.8 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 | 1.4058 | 0.11 |
α ARCH Response to squared shocks | 0.1500 | 0.01 |
β GARCH Volatility persistence | 0.8500 | 0.07 |
Spline Coefficients
K=10
| γ1 | 1.1293 | 0.00 |
| γ2 | -2.0376 | 0.00 |
| γ3 | 0.6646 | 0.04 |
| γ4 | 0.4575 | 0.05 |
| γ5 | -0.4933 | -0.02 |
| γ6 | 0.8476 | 0.02 |
| γ7 | -4.5641 | -0.06 |
| γ8 | 9.4946 | 0.06 |
| γ9 | -6.8278 | -0.03 |
| γ10 | 1.8312 | 0.01 |
Persistence:
1.000
Half-life:
36481 days
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