V-Lab
Sandon Capital Investments Ltd Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, August 24th, 2026
1 Day
969,844.70
decreased by 83,891.30
1 Week
985,855.56
decreased by 67,880.44
1 Month
930,558.06
decreased by 123,177.94
Analysis last updated: Saturday, August 22, 2026 at 06:06 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Dec 23, 2013 to Aug 21, 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 1 trading day.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4083 | 4.16*** |
α ARCH Response to squared shocks | 0.1031 | 1.98** |
β GARCH Volatility persistence | 0.2578 | 1.39 |
Spline Coefficients
K=9
| γ1 | -1.0858 | -1.69* |
| γ2 | 1.5219 | 1.59 |
| γ3 | -0.8637 | -1.41 |
| γ4 | 0.8717 | 1.72* |
| γ5 | -1.4254 | -2.56** |
| γ6 | 3.3121 | 3.74*** |
| γ7 | -4.5205 | -3.77*** |
| γ8 | 2.3083 | 2.05** |
| γ9 | 0.8797 | 0.70 |
Persistence:
0.361
Half-life:
1 days
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