Service Industries 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 Thursday, October 22nd, 2026
1 Day
1,922.66
decreased by 25.97
1 Week
2,092.24
increased by 143.61
1 Month
1,478.08
decreased by 470.55
Analysis last updated: Thursday, October 22, 2026 at 08:11 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
May 10, 1999 to Oct 16, 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
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High persistence: persistence 1.000, shock half-life ~86643 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.0213 | 0.01 |
| αARCH | 0.1953 | 0.00 |
| βGARCH | 0.8047 | 0.00 |
Spline Coefficients
K=8
| γ1 | 1.1666 | 0.00 |
| γ2 | -6.3632 | 0.00 |
| γ3 | 11.1352 | 0.00 |
| γ4 | -6.2258 | 0.00 |
| γ5 | -1.9387 | 0.00 |
| γ6 | 3.1489 | 0.03 |
| γ7 | -1.3747 | -0.05 |
| γ8 | 0.2730 | 0.00 |
1.000
Persistence86643d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.0213 | 0.01 |
α ARCH Response to squared shocks | 0.1953 | 0.00 |
β GARCH Volatility persistence | 0.8047 | 0.00 |
Spline Coefficients
K=8
| γ1 | 1.1666 | 0.00 |
| γ2 | -6.3632 | 0.00 |
| γ3 | 11.1352 | 0.00 |
| γ4 | -6.2258 | 0.00 |
| γ5 | -1.9387 | 0.00 |
| γ6 | 3.1489 | 0.03 |
| γ7 | -1.3747 | -0.05 |
| γ8 | 0.2730 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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