Sinpas Gayrimenkul Yatirim Ortakligi AS Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Monday, July 20th, 2026
1 Day
322.39
increased by 26.93
1 Week
310.79
increased by 15.33
1 Month
266.94
decreased by 28.52
Analysis last updated: Sunday, July 19, 2026 at 04:05 AM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jun 22, 2007 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 99021 trading days (~392.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7615 | 0.96 |
α ARCH Response to squared shocks | 0.1719 | 0.03 |
β GARCH Volatility persistence | 0.8281 | 0.17 |
Spline Coefficients
K=2
| γ1 | -0.0951 | -0.07 |
| γ2 | 0.0577 | 0.03 |
Persistence:
1.000
Half-life:
99021 days
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