V-Lab
Thal 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 Friday, July 31st, 2026
1 Day
10,953.12
increased by 7,652.22
1 Week
4,269.28
increased by 968.38
1 Month
2,757.47
decreased by 543.43
Analysis last updated: Friday, July 31, 2026 at 08:13 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Apr 11, 1995 to Jul 24, 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 | 1.5418 | 0.08 |
α ARCH Response to squared shocks | 0.1622 | 0.00 |
β GARCH Volatility persistence | 0.8378 | 0.00 |
Spline Coefficients
K=10
| γ1 | -0.2024 | 0.00 |
| γ2 | -0.4248 | 0.00 |
| γ3 | 1.5631 | 0.00 |
| γ4 | -3.8145 | -0.01 |
| γ5 | 5.2519 | 0.02 |
| γ6 | -3.2391 | -0.01 |
| γ7 | 3.7342 | 0.00 |
| γ8 | -4.4202 | 0.00 |
| γ9 | 0.6757 | 0.00 |
| γ10 | 1.2387 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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