V-Lab
Sreeleathers Ltd 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 Wednesday, August 19th, 2026
1 Day
4,699.08
decreased by 13.66
1 Week
5,287.31
increased by 574.57
1 Month
6,961.95
increased by 2,249.21
Analysis last updated: Wednesday, August 19, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Dec 5, 2012 to Aug 14, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 86643 trading days (~343.8 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 | 0.5412 | 0.01 |
α ARCH Response to squared shocks | 0.1567 | 0.00 |
β GARCH Volatility persistence | 0.8433 | 0.00 |
Spline Coefficients
K=10
| γ1 | -9.7876 | 0.00 |
| γ2 | 12.0252 | 0.00 |
| γ3 | -5.3363 | 0.00 |
| γ4 | 8.7723 | 0.00 |
| γ5 | -9.6322 | 0.00 |
| γ6 | 5.9261 | 0.00 |
| γ7 | -3.3701 | 0.00 |
| γ8 | 2.4417 | 0.00 |
| γ9 | -1.0326 | 0.00 |
| γ10 | -0.7468 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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