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Srinanaporn Marketing Pcl Spline ILLIQ Liquidity Analysis

Illiquidity prediction for Friday, September 4th, 2026

1 Day

7,170.29

increased by 3,452.06

1 Week

4,090.03

increased by 371.80

1 Month

3,493.38

decreased by 224.85

Analysis last updated: Friday, September 4, 2026 at 08:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

All

graph of Srinanaporn Marketing Pcl ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Jul 20, 2021 to Aug 28, 2026

Model 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 16 trading days.

μ

ILLIQ-SMEM Model

Tap to view equation

Time-varying baseline: illiquidity reverts to a slowly-shifting spline trend
ParamValuet-stat
ωconst0.5821
7.15***
αARCH0.1476
6.98***
βGARCH0.8111
28.60***
∑γi Spline Coefficients
K=1
γ10.1406
4.21***

0.959

Persistence

16d

Half-life
μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.5821
7.15***
α

ARCH

Response to squared shocks

0.1476
6.98***
β

GARCH

Volatility persistence

0.8111
28.60***
∑γi Spline Coefficients
K=1
γ10.1406
4.21***

Persistence:

0.959

Half-life:

16 days