Vestum Ab (Publ) Spline ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
1,208.49
decreased by 3.79
1 Week
1,422.73
increased by 210.45
1 Month
1,353.53
increased by 141.25
Analysis last updated: Tuesday, July 21, 2026 at 07:56 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
May 19, 2008 to Jul 17, 2026Model Insight
With persistence 0.998, illiquidity shocks have a half-life of 417 trading days (~1.7 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 | 0.7362 | 3.69*** |
α ARCH Response to squared shocks | 0.2293 | 6.66*** |
β GARCH Volatility persistence | 0.7691 | 22.78*** |
Spline Coefficients
K=10
| γ1 | -4.6223 | -1.84* |
| γ2 | 6.5877 | 1.40 |
| γ3 | 5.1270 | 0.76 |
| γ4 | -13.5340 | -1.72* |
| γ5 | 7.5189 | 1.73* |
| γ6 | -2.4768 | -1.26 |
| γ7 | 2.1743 | 1.21 |
| γ8 | -0.1659 | -0.12 |
| γ9 | -0.8233 | -1.24 |
| γ10 | -0.2483 | -0.44 |
Persistence:
0.998
Half-life:
417 days
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