Viking Kagit Seluloz As 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 9th, 2026
1 Day
5,210.73
decreased by 504.80
1 Week
6,374.17
increased by 658.64
1 Month
4,250.49
decreased by 1,465.04
Analysis last updated: Saturday, October 10, 2026 at 12:46 AM UTC
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How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Mar 28, 1995 to Oct 2, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 346573 trading days (~1375.3 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 ~346573 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7575 | 0.03 |
| αARCH | 0.1442 | 0.01 |
| βGARCH | 0.8558 | 0.03 |
Spline Coefficients
K=9
| γ1 | -0.5887 | 0.00 |
| γ2 | 2.1048 | 0.01 |
| γ3 | -3.9563 | -0.01 |
| γ4 | 3.5034 | 0.00 |
| γ5 | -2.3915 | 0.00 |
| γ6 | 7.2151 | 0.00 |
| γ7 | -12.1542 | -0.01 |
| γ8 | 8.9602 | 0.01 |
| γ9 | -3.1464 | -0.01 |
1.000
Persistence346573d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7575 | 0.03 |
α ARCH Response to squared shocks | 0.1442 | 0.01 |
β GARCH Volatility persistence | 0.8558 | 0.03 |
Spline Coefficients
K=9
| γ1 | -0.5887 | 0.00 |
| γ2 | 2.1048 | 0.01 |
| γ3 | -3.9563 | -0.01 |
| γ4 | 3.5034 | 0.00 |
| γ5 | -2.3915 | 0.00 |
| γ6 | 7.2151 | 0.00 |
| γ7 | -12.1542 | -0.01 |
| γ8 | 8.9602 | 0.01 |
| γ9 | -3.1464 | -0.01 |
Persistence:
1.000
Half-life:
346573 days
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