Stakk Ltd 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
177,514.90
decreased by 2,786.70
1 Week
156,986.66
decreased by 23,314.94
1 Month
132,845.32
decreased by 47,456.28
Analysis last updated: Friday, July 17, 2026 at 06:18 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jun 15, 2004 to Jul 10, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 86643 trading days (~343.8 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 | 4.2708 | 0.00 |
α ARCH Response to squared shocks | 0.1606 | 0.00 |
β GARCH Volatility persistence | 0.8394 | 0.00 |
Spline Coefficients
K=10
| γ1 | -4.5256 | -0.01 |
| γ2 | 8.2727 | 0.00 |
| γ3 | -10.4414 | -0.01 |
| γ4 | 10.2457 | 0.00 |
| γ5 | 3.0094 | 0.00 |
| γ6 | -16.5610 | 0.00 |
| γ7 | 17.0042 | 0.00 |
| γ8 | -8.5339 | -0.01 |
| γ9 | -0.8296 | 0.00 |
| γ10 | -1.4197 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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