Vien Lien Jsc Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 8th, 2026
1 Day
13,069.51
increased by 6,354.24
1 Week
7,623.47
increased by 908.20
1 Month
6,838.31
increased by 123.04
Analysis last updated: Wednesday, July 8, 2026 at 11:28 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 11, 2007 to Jul 3, 2026Model Insight
With persistence 0.997, illiquidity shocks have a half-life of 209 trading days (~0.8 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 | 1.4395 | 2.52** |
α ARCH Response to squared shocks | 0.1683 | 7.48*** |
β GARCH Volatility persistence | 0.8283 | 40.11*** |
Spline Coefficients
K=10
| γ1 | -6.0971 | -1.48 |
| γ2 | 12.7674 | 1.65* |
| γ3 | -9.3378 | -1.88* |
| γ4 | 3.5025 | 1.63 |
| γ5 | -1.7280 | -1.32 |
| γ6 | 1.1645 | 1.63 |
| γ7 | -0.8688 | -1.24 |
| γ8 | 0.9004 | 1.31 |
| γ9 | -0.2431 | -0.32 |
| γ10 | 1.0744 | 1.25 |
Persistence:
0.997
Half-life:
209 days
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