Srinanaporn Marketing Pcl Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Thursday, October 8th, 2026
1 Day
8,268.17
increased by 3,256.96
1 Week
5,064.73
increased by 53.52
1 Month
5,008.60
decreased by 2.61
Analysis last updated: Thursday, October 8, 2026 at 08:54 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 20, 2021 to Oct 2, 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 15 trading days.
μ
ILLIQ-SMEM Model
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Time-varying baseline: illiquidity reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.5537 | 7.37*** |
| αARCH | 0.1488 | 6.93*** |
| βGARCH | 0.8063 | 26.96*** |
Spline Coefficients
K=1
| γ1 | 0.1377 | 4.24*** |
0.955
Persistence15d
Half-lifeμ
ILLIQ-SMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5537 | 7.37*** |
α ARCH Response to squared shocks | 0.1488 | 6.93*** |
β GARCH Volatility persistence | 0.8063 | 26.96*** |
Spline Coefficients
K=1
| γ1 | 0.1377 | 4.24*** |
Persistence:
0.955
Half-life:
15 days
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