V-Lab
SAN Miguel Corp Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, July 27th, 2026
1 Day
1,082.48
decreased by 133.97
1 Week
1,282.66
increased by 66.21
1 Month
2,215.62
increased by 999.17
Analysis last updated: Sunday, July 26, 2026 at 05:04 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 24, 1994 to Jul 24, 2026Model Insight
This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 21 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8607 | 5.26*** |
α ARCH Response to squared shocks | 0.1370 | 9.20*** |
β GARCH Volatility persistence | 0.8309 | 45.52*** |
Spline Coefficients
K=10
| γ1 | -0.1444 | -1.47 |
| γ2 | 0.3178 | 1.93* |
| γ3 | -0.4170 | -3.23*** |
| γ4 | 0.5041 | 4.36*** |
| γ5 | -0.6878 | -5.26*** |
| γ6 | 0.9241 | 8.15*** |
| γ7 | -0.8389 | -10.74*** |
| γ8 | 0.5968 | 7.80*** |
| γ9 | -0.4293 | -5.36*** |
| γ10 | 0.3209 | 2.52** |
Persistence:
0.968
Half-life:
21 days
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