Teejay Lanka Plc Spline ILLIQ Liquidity Analysis
Liquidity prediction for Thursday, July 9th, 2026
1 Day
11,149.77
increased by 5,511.82
1 Week
7,111.67
increased by 1,473.72
1 Month
4,170.94
decreased by 1,467.01
Analysis last updated: Thursday, July 9, 2026 at 08:25 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Aug 15, 2011 to Jul 3, 2026Model Insight
This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 17 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7402 | 1.85* |
α ARCH Response to squared shocks | 0.3359 | 4.09*** |
β GARCH Volatility persistence | 0.6243 | 10.24*** |
Spline Coefficients
K=10
| γ1 | -3.1000 | -3.86*** |
| γ2 | 3.8761 | 3.46*** |
| γ3 | -0.5328 | -0.95 |
| γ4 | 0.3112 | 0.50 |
| γ5 | -0.7676 | -1.03 |
| γ6 | -1.4563 | -2.50** |
| γ7 | 3.8728 | 6.44*** |
| γ8 | -3.0858 | -4.62*** |
| γ9 | 0.0865 | 0.12 |
| γ10 | 2.1788 | 2.71*** |
Persistence:
0.960
Half-life:
17 days
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