V-Lab
Stakk Ltd 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 Thursday, August 6th, 2026
1 Day
114,582.40
decreased by 22,194.10
1 Week
153,183.00
increased by 16,406.50
1 Month
141,363.79
increased by 4,587.29
Analysis last updated: Thursday, August 6, 2026 at 06:09 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 15, 2004 to Jul 31, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.1206 | 0.00 |
α ARCH Response to squared shocks | 0.1623 | 0.00 |
β GARCH Volatility persistence | 0.8377 | 0.00 |
Spline Coefficients
K=10
| γ1 | -4.9203 | 0.00 |
| γ2 | 8.7878 | 0.00 |
| γ3 | -10.7104 | 0.00 |
| γ4 | 10.6709 | 0.00 |
| γ5 | 2.5458 | 0.00 |
| γ6 | -16.5389 | 0.00 |
| γ7 | 17.6254 | 0.00 |
| γ8 | -9.3986 | -0.01 |
| γ9 | -0.2575 | 0.00 |
| γ10 | -1.9129 | 0.00 |
Persistence:
1.000
Half-life:
115524 days
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