Tenaris SA 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 20th, 2026
1 Day
336.57
increased by 37.66
1 Week
342.14
increased by 43.23
1 Month
377.62
increased by 78.71
Analysis last updated: Sunday, July 19, 2026 at 01:20 AM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 17, 2002 to Jul 17, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): illiquidity shocks do not decay and the long-run level is undefined, so long-horizon forecasts should be treated with caution.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1369 | |
α ARCH Response to squared shocks | 0.0930 | |
β GARCH Volatility persistence | 0.9070 |
Spline Coefficients
K=4
| γ1 | 0.0981 | |
| γ2 | -0.1544 | |
| γ3 | -0.0587 | |
| γ4 | 0.1247 |
Persistence:
1.000
Half-life:
-
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