V-Lab
SP Setia Bhd Group 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 Tuesday, September 8th, 2026
1 Day
10,193.46
increased by 2,500.20
1 Week
6,437.76
decreased by 1,255.50
1 Month
4,293.90
decreased by 3,399.36
Analysis last updated: Tuesday, September 8, 2026 at 09:36 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Apr 12, 1993 to Sep 4, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 77016 trading days (~305.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
High persistence: persistence 1.000, shock half-life ~77016 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2008 | 0.00 |
| αARCH | 0.1764 | 0.00 |
| βGARCH | 0.8236 | 0.00 |
Spline Coefficients
K=10
| γ1 | 0.0025 | 0.00 |
| γ2 | -0.1986 | 0.00 |
| γ3 | 0.0478 | 0.00 |
| γ4 | 0.3387 | 0.02 |
| γ5 | -0.8492 | -0.01 |
| γ6 | 2.3327 | 0.01 |
| γ7 | -3.4732 | -0.01 |
| γ8 | 2.9150 | 0.01 |
| γ9 | -1.7004 | -0.05 |
| γ10 | 1.0199 | 0.01 |
1.000
Persistence77016d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2008 | 0.00 |
α ARCH Response to squared shocks | 0.1764 | 0.00 |
β GARCH Volatility persistence | 0.8236 | 0.00 |
Spline Coefficients
K=10
| γ1 | 0.0025 | 0.00 |
| γ2 | -0.1986 | 0.00 |
| γ3 | 0.0478 | 0.00 |
| γ4 | 0.3387 | 0.02 |
| γ5 | -0.8492 | -0.01 |
| γ6 | 2.3327 | 0.01 |
| γ7 | -3.4732 | -0.01 |
| γ8 | 2.9150 | 0.01 |
| γ9 | -1.7004 | -0.05 |
| γ10 | 1.0199 | 0.01 |
Persistence:
1.000
Half-life:
77016 days
Other SP Setia Bhd Group Analyses
Other Spline ILLIQ Analyses on International Equities