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Skjern Bank 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 Friday, July 17th, 2026

1 Day

3,696.14

decreased by 2.52

1 Week

3,620.44

decreased by 78.22

1 Month

3,712.22

increased by 13.56

Analysis last updated: Friday, July 17, 2026 at 06:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Skjern Bank ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jan 12, 1990 to Jul 10, 2026

Model 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

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.0091
0.75
α

ARCH

Response to squared shocks

0.0915
0.05
β

GARCH

Volatility persistence

0.9085
0.52
γi Spline Coefficients
K=6
γ1-0.4494
-0.04
γ20.5366
0.04
γ3-0.0340
-0.01
γ4-0.2625
-0.11
γ50.5454
0.38
γ6-1.2664
-5.49***

Persistence:

1.000

Half-life:

36481 days