TAT Technologies Ltd 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 Friday, July 10th, 2026
1 Day
4,560.34
decreased by 18.90
1 Week
4,155.50
decreased by 423.74
1 Month
4,785.07
increased by 205.83
Analysis last updated: Thursday, July 9, 2026 at 09:12 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Sep 30, 1991 to Jul 2, 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 | 1.2856 | 0.03 |
α ARCH Response to squared shocks | 0.1157 | 0.00 |
β GARCH Volatility persistence | 0.8843 | 0.03 |
Spline Coefficients
K=8
| γ1 | -0.2649 | 0.00 |
| γ2 | 0.1629 | 0.00 |
| γ3 | -0.1198 | 0.00 |
| γ4 | 0.6612 | 0.06 |
| γ5 | -0.6823 | -0.04 |
| γ6 | 0.3191 | 0.02 |
| γ7 | -0.4479 | -0.02 |
| γ8 | 0.8323 | 0.01 |
Persistence:
1.000
Half-life:
86643 days
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