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 Monday, October 26th, 2026
1 Day
52,259.30
increased by 3,844.02
1 Week
58,609.64
increased by 10,194.36
1 Month
88,175.97
increased by 39,760.69
Analysis last updated: Sunday, October 25, 2026 at 12:52 AM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 15, 2004 to Oct 23, 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
High persistence: persistence 1.000, shock half-life ~115524 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.3563 | 0.00 |
| αARCH | 0.1433 | 0.00 |
| βGARCH | 0.8567 | 0.00 |
Spline Coefficients
K=10
| γ1 | -4.6672 | 0.00 |
| γ2 | 8.3146 | 0.00 |
| γ3 | -10.7414 | -0.01 |
| γ4 | 12.3450 | 0.00 |
| γ5 | -0.6468 | 0.00 |
| γ6 | -15.0646 | 0.00 |
| γ7 | 20.2440 | 0.00 |
| γ8 | -13.6251 | -0.01 |
| γ9 | 1.6037 | 0.00 |
| γ10 | 2.6725 | 0.00 |
1.000
Persistence115524d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.3563 | 0.00 |
α ARCH Response to squared shocks | 0.1433 | 0.00 |
β GARCH Volatility persistence | 0.8567 | 0.00 |
Spline Coefficients
K=10
| γ1 | -4.6672 | 0.00 |
| γ2 | 8.3146 | 0.00 |
| γ3 | -10.7414 | -0.01 |
| γ4 | 12.3450 | 0.00 |
| γ5 | -0.6468 | 0.00 |
| γ6 | -15.0646 | 0.00 |
| γ7 | 20.2440 | 0.00 |
| γ8 | -13.6251 | -0.01 |
| γ9 | 1.6037 | 0.00 |
| γ10 | 2.6725 | 0.00 |
Persistence:
1.000
Half-life:
115524 days
Other Stakk Ltd Analyses
Other Spline ILLIQ Analyses on International Equities