V-Lab
Vestum Ab (Publ) Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, July 27th, 2026
1 Day
1,252.23
increased by 24.16
1 Week
1,305.02
increased by 76.95
1 Month
1,352.14
increased by 124.07
Analysis last updated: Sunday, July 26, 2026 at 05:56 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
May 19, 2008 to Jul 24, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 900 trading days (~3.6 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 | 1.4888 | 4.11*** |
α ARCH Response to squared shocks | 0.2297 | 6.72*** |
β GARCH Volatility persistence | 0.7695 | 22.63*** |
Spline Coefficients
K=10
| γ1 | -3.6964 | -1.62 |
| γ2 | 4.8295 | 1.10 |
| γ3 | 6.2724 | 0.92 |
| γ4 | -13.8225 | -1.74* |
| γ5 | 7.4937 | 1.72* |
| γ6 | -2.4849 | -1.26 |
| γ7 | 2.1970 | 1.21 |
| γ8 | -0.1916 | -0.14 |
| γ9 | -0.7966 | -1.19 |
| γ10 | -0.2899 | -0.51 |
Persistence:
0.999
Half-life:
900 days
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