V-Lab
Vietnam Sun Corp 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 Monday, September 28th, 2026
1 Day
9,827.10
increased by 5,839.97
1 Week
5,315.41
increased by 1,328.28
1 Month
3,504.27
decreased by 482.86
Analysis last updated: Saturday, September 26, 2026 at 11:51 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 21, 2008 to Sep 25, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 115524 trading days (~458.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
High persistence: persistence 1.000, shock half-life ~115524 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.3700 | 0.00 |
| αARCH | 0.1186 | 0.00 |
| βGARCH | 0.8814 | 0.00 |
Spline Coefficients
K=9
| γ1 | 1.5017 | 0.00 |
| γ2 | -3.2864 | 0.00 |
| γ3 | 2.1509 | 0.01 |
| γ4 | -1.9883 | 0.00 |
| γ5 | 4.5506 | 0.00 |
| γ6 | -3.8652 | 0.00 |
| γ7 | -0.2260 | 0.00 |
| γ8 | 2.1596 | 0.01 |
| γ9 | -0.4121 | -0.01 |
1.000
Persistence115524d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3700 | 0.00 |
α ARCH Response to squared shocks | 0.1186 | 0.00 |
β GARCH Volatility persistence | 0.8814 | 0.00 |
Spline Coefficients
K=9
| γ1 | 1.5017 | 0.00 |
| γ2 | -3.2864 | 0.00 |
| γ3 | 2.1509 | 0.01 |
| γ4 | -1.9883 | 0.00 |
| γ5 | 4.5506 | 0.00 |
| γ6 | -3.8652 | 0.00 |
| γ7 | -0.2260 | 0.00 |
| γ8 | 2.1596 | 0.01 |
| γ9 | -0.4121 | -0.01 |
Persistence:
1.000
Half-life:
115524 days
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