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, October 11th, 2026
1 Day
9,472.10
increased by 4,856.83
1 Week
4,735.08
increased by 119.81
1 Month
4,973.11
increased by 357.84
Analysis last updated: Saturday, October 10, 2026 at 08:12 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 26, 2008 to Oct 9, 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
High persistence: persistence 1.000, shock half-life ~86643 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0927 | 0.00 |
| αARCH | 0.2494 | 0.00 |
| βGARCH | 0.7506 | 0.00 |
Spline Coefficients
K=9
| γ1 | 1.0789 | 0.00 |
| γ2 | -0.2290 | 0.00 |
| γ3 | -4.3927 | 0.00 |
| γ4 | 7.2111 | 0.00 |
| γ5 | -7.4963 | 0.00 |
| γ6 | 8.0249 | 0.00 |
| γ7 | -9.0203 | 0.00 |
| γ8 | 7.1096 | 0.00 |
| γ9 | -2.2391 | 0.00 |
1.000
Persistence86643d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0927 | 0.00 |
α ARCH Response to squared shocks | 0.2494 | 0.00 |
β GARCH Volatility persistence | 0.7506 | 0.00 |
Spline Coefficients
K=9
| γ1 | 1.0789 | 0.00 |
| γ2 | -0.2290 | 0.00 |
| γ3 | -4.3927 | 0.00 |
| γ4 | 7.2111 | 0.00 |
| γ5 | -7.4963 | 0.00 |
| γ6 | 8.0249 | 0.00 |
| γ7 | -9.0203 | 0.00 |
| γ8 | 7.1096 | 0.00 |
| γ9 | -2.2391 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
Other Takaful Emarat Analyses
Other Spline ILLIQ Analyses on International Equities