V-Lab
Takaful Emarat 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 Sunday, September 6th, 2026
1 Day
11,106.26
increased by 5,533.13
1 Week
8,110.51
increased by 2,537.38
1 Month
6,284.02
increased by 710.89
Analysis last updated: Saturday, September 5, 2026 at 08:04 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 26, 2008 to Sep 4, 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 | 0.0806 | 0.00 |
| αARCH | 0.2466 | 0.00 |
| βGARCH | 0.7534 | 0.00 |
Spline Coefficients
K=9
| γ1 | 1.0351 | 0.00 |
| γ2 | 0.0158 | 0.00 |
| γ3 | -4.8903 | 0.00 |
| γ4 | 7.7840 | 0.00 |
| γ5 | -8.0445 | 0.00 |
| γ6 | 8.5117 | 0.00 |
| γ7 | -9.1562 | 0.00 |
| γ8 | 6.6200 | 0.00 |
| γ9 | -1.3018 | -0.01 |
1.000
Persistence86643d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0806 | 0.00 |
α ARCH Response to squared shocks | 0.2466 | 0.00 |
β GARCH Volatility persistence | 0.7534 | 0.00 |
Spline Coefficients
K=9
| γ1 | 1.0351 | 0.00 |
| γ2 | 0.0158 | 0.00 |
| γ3 | -4.8903 | 0.00 |
| γ4 | 7.7840 | 0.00 |
| γ5 | -8.0445 | 0.00 |
| γ6 | 8.5117 | 0.00 |
| γ7 | -9.1562 | 0.00 |
| γ8 | 6.6200 | 0.00 |
| γ9 | -1.3018 | -0.01 |
Persistence:
1.000
Half-life:
86643 days
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