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 Friday, September 11th, 2026
1 Day
227,777.60
increased by 20,014.20
1 Week
236,921.48
increased by 29,158.08
1 Month
268,009.39
increased by 60,245.99
Analysis last updated: Friday, September 11, 2026 at 05:56 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 15, 2004 to Sep 4, 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 | 3.7753 | 0.00 |
| αARCH | 0.1452 | 0.00 |
| βGARCH | 0.8548 | 0.00 |
Spline Coefficients
K=10
| γ1 | -4.7437 | 0.00 |
| γ2 | 8.4793 | 0.00 |
| γ3 | -10.6594 | 0.00 |
| γ4 | 11.5923 | 0.00 |
| γ5 | 0.4167 | 0.00 |
| γ6 | -14.9734 | 0.00 |
| γ7 | 18.1417 | 0.00 |
| γ8 | -10.8250 | 0.00 |
| γ9 | -0.0927 | 0.00 |
| γ10 | 3.0422 | 0.00 |
1.000
Persistence115524d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.7753 | 0.00 |
α ARCH Response to squared shocks | 0.1452 | 0.00 |
β GARCH Volatility persistence | 0.8548 | 0.00 |
Spline Coefficients
K=10
| γ1 | -4.7437 | 0.00 |
| γ2 | 8.4793 | 0.00 |
| γ3 | -10.6594 | 0.00 |
| γ4 | 11.5923 | 0.00 |
| γ5 | 0.4167 | 0.00 |
| γ6 | -14.9734 | 0.00 |
| γ7 | 18.1417 | 0.00 |
| γ8 | -10.8250 | 0.00 |
| γ9 | -0.0927 | 0.00 |
| γ10 | 3.0422 | 0.00 |
Persistence:
1.000
Half-life:
115524 days
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