Vc9 No 9 Construction Join S 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, October 16th, 2026
1 Day
12,893.37
increased by 11,645.35
1 Week
4,092.49
increased by 2,844.47
1 Month
2,231.23
increased by 983.21
Analysis last updated: Friday, October 16, 2026 at 09:20 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Nov 11, 2009 to Oct 9, 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
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High persistence: persistence 1.000, shock half-life ~86643 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 4.2648 | 0.00 |
| αARCH | 0.2771 | 0.00 |
| βGARCH | 0.7229 | 0.00 |
Spline Coefficients
K=9
| γ1 | -0.2571 | 0.00 |
| γ2 | -1.0890 | 0.00 |
| γ3 | 2.1914 | 0.01 |
| γ4 | -1.7387 | -0.01 |
| γ5 | 2.1087 | 0.01 |
| γ6 | -4.2605 | -0.02 |
| γ7 | 7.3908 | 0.08 |
| γ8 | -6.9660 | -0.03 |
| γ9 | 3.3445 | 0.01 |
1.000
Persistence86643d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.2648 | 0.00 |
α ARCH Response to squared shocks | 0.2771 | 0.00 |
β GARCH Volatility persistence | 0.7229 | 0.00 |
Spline Coefficients
K=9
| γ1 | -0.2571 | 0.00 |
| γ2 | -1.0890 | 0.00 |
| γ3 | 2.1914 | 0.01 |
| γ4 | -1.7387 | -0.01 |
| γ5 | 2.1087 | 0.01 |
| γ6 | -4.2605 | -0.02 |
| γ7 | 7.3908 | 0.08 |
| γ8 | -6.9660 | -0.03 |
| γ9 | 3.3445 | 0.01 |
Persistence:
1.000
Half-life:
86643 days
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