Searefico Corporation Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Monday, July 13th, 2026
1 Day
5,036.74
increased by 4,259.22
1 Week
1,507.86
increased by 730.34
1 Month
732.49
decreased by 45.03
Analysis last updated: Sunday, July 12, 2026 at 02:35 AM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Oct 22, 2009 to Jul 10, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 231049 trading days (~916.9 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 | 1.4461 | |
α ARCH Response to squared shocks | 0.1764 | |
β GARCH Volatility persistence | 0.8236 |
Spline Coefficients
K=10
| γ1 | -2.1734 | |
| γ2 | 1.4004 | |
| γ3 | 1.3074 | |
| γ4 | -2.0739 | |
| γ5 | 4.2002 | |
| γ6 | -4.4301 | |
| γ7 | 1.3301 | |
| γ8 | 1.6629 | |
| γ9 | -1.4997 | |
| γ10 | 0.0440 |
Persistence:
1.000
Half-life:
231049 days
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