Pt Satyamitra Mitra Kemas Le 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, October 22nd, 2026
1 Day
9,306.42
increased by 7,251.85
1 Week
3,064.93
increased by 1,010.36
1 Month
1,983.34
decreased by 71.23
Analysis last updated: Thursday, October 22, 2026 at 08:39 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 11, 2019 to Oct 16, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 77016 trading days (~305.6 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 ~77016 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7861 | 0.02 |
| αARCH | 0.2315 | 0.00 |
| βGARCH | 0.7685 | 0.01 |
Spline Coefficients
K=10
| γ1 | -14.8977 | 0.00 |
| γ2 | -4.7657 | 0.00 |
| γ3 | 46.6377 | 0.01 |
| γ4 | -43.4063 | 0.00 |
| γ5 | 9.1462 | 0.00 |
| γ6 | 41.8614 | 0.00 |
| γ7 | -57.7980 | 0.00 |
| γ8 | 23.8010 | 0.00 |
| γ9 | 1.7384 | 0.00 |
| γ10 | -2.6594 | 0.00 |
1.000
Persistence77016d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7861 | 0.02 |
α ARCH Response to squared shocks | 0.2315 | 0.00 |
β GARCH Volatility persistence | 0.7685 | 0.01 |
Spline Coefficients
K=10
| γ1 | -14.8977 | 0.00 |
| γ2 | -4.7657 | 0.00 |
| γ3 | 46.6377 | 0.01 |
| γ4 | -43.4063 | 0.00 |
| γ5 | 9.1462 | 0.00 |
| γ6 | 41.8614 | 0.00 |
| γ7 | -57.7980 | 0.00 |
| γ8 | 23.8010 | 0.00 |
| γ9 | 1.7384 | 0.00 |
| γ10 | -2.6594 | 0.00 |
Persistence:
1.000
Half-life:
77016 days
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