V-Lab
Te-Mapol Polimer Plastik 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, September 18th, 2026
1 Day
10,767.78
increased by 10,078.69
1 Week
2,449.50
increased by 1,760.41
1 Month
920.62
increased by 231.53
Analysis last updated: Friday, September 18, 2026 at 09:18 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Dec 16, 2013 to Sep 14, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 99021 trading days (~392.9 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 ~99021 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.3007 | 0.00 |
| αARCH | 0.2182 | 0.00 |
| βGARCH | 0.7818 | 0.00 |
Spline Coefficients
K=10
| γ1 | 0.4316 | 0.00 |
| γ2 | 2.6414 | 0.00 |
| γ3 | -17.6930 | 0.00 |
| γ4 | 31.5250 | 0.00 |
| γ5 | -23.1890 | 0.00 |
| γ6 | 9.5044 | 0.00 |
| γ7 | -6.1216 | 0.00 |
| γ8 | 3.0791 | 0.00 |
| γ9 | -0.6812 | 0.00 |
| γ10 | 1.9050 | 0.03 |
1.000
Persistence99021d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3007 | 0.00 |
α ARCH Response to squared shocks | 0.2182 | 0.00 |
β GARCH Volatility persistence | 0.7818 | 0.00 |
Spline Coefficients
K=10
| γ1 | 0.4316 | 0.00 |
| γ2 | 2.6414 | 0.00 |
| γ3 | -17.6930 | 0.00 |
| γ4 | 31.5250 | 0.00 |
| γ5 | -23.1890 | 0.00 |
| γ6 | 9.5044 | 0.00 |
| γ7 | -6.1216 | 0.00 |
| γ8 | 3.0791 | 0.00 |
| γ9 | -0.6812 | 0.00 |
| γ10 | 1.9050 | 0.03 |
Persistence:
1.000
Half-life:
99021 days
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