Saturn Oil & Gas Inc Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Friday, October 9th, 2026
1 Day
4,164.27
decreased by 268.58
1 Week
4,974.37
increased by 541.52
1 Month
5,156.77
increased by 723.92
Analysis last updated: Friday, October 9, 2026 at 09:21 AM UTC
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How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
May 3, 2004 to Oct 2, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 115524 trading days (~458.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
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High persistence: persistence 1.000, shock half-life ~115524 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9586 | 0.27 |
| αARCH | 0.2418 | 0.00 |
| βGARCH | 0.7582 | 0.00 |
Spline Coefficients
K=10
| γ1 | 1.1989 | 0.00 |
| γ2 | -2.8687 | 0.00 |
| γ3 | 2.6698 | 0.00 |
| γ4 | -1.9229 | -0.01 |
| γ5 | 1.5781 | 0.04 |
| γ6 | -1.1852 | -0.02 |
| γ7 | 1.0392 | 0.00 |
| γ8 | -3.3938 | 0.00 |
| γ9 | 7.9145 | 0.00 |
| γ10 | -8.8295 | 0.00 |
1.000
Persistence115524d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9586 | 0.27 |
α ARCH Response to squared shocks | 0.2418 | 0.00 |
β GARCH Volatility persistence | 0.7582 | 0.00 |
Spline Coefficients
K=10
| γ1 | 1.1989 | 0.00 |
| γ2 | -2.8687 | 0.00 |
| γ3 | 2.6698 | 0.00 |
| γ4 | -1.9229 | -0.01 |
| γ5 | 1.5781 | 0.04 |
| γ6 | -1.1852 | -0.02 |
| γ7 | 1.0392 | 0.00 |
| γ8 | -3.3938 | 0.00 |
| γ9 | 7.9145 | 0.00 |
| γ10 | -8.8295 | 0.00 |
Persistence:
1.000
Half-life:
115524 days
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