V-Lab
Sandon Capital Investments Ltd Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, August 10th, 2026
1 Day
1,163,265.00
increased by 4,252.00
1 Week
1,146,640.80
decreased by 12,372.20
1 Month
1,119,109.76
decreased by 39,903.24
Analysis last updated: Saturday, August 8, 2026 at 06:07 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Dec 23, 2013 to Aug 7, 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 | 0.4072 | 4.16*** |
α ARCH Response to squared shocks | 0.1024 | 1.98** |
β GARCH Volatility persistence | 0.2365 | 1.29 |
Spline Coefficients
K=9
| γ1 | -1.0902 | -1.69* |
| γ2 | 1.5270 | 1.59 |
| γ3 | -0.8647 | -1.41 |
| γ4 | 0.8801 | 1.73* |
| γ5 | -1.4583 | -2.61*** |
| γ6 | 3.3406 | 3.82*** |
| γ7 | -4.4437 | -3.83*** |
| γ8 | 2.0743 | 1.98** |
| γ9 | 1.2948 | 1.07 |
Persistence:
0.339
Half-life:
1 days
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