Wang & LEE Group Inc Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
2,004,952,000.00
decreased by 379,213,000.00
1 Week
1,858,216,200.00
decreased by 525,948,800.00
1 Month
1,402,836,585.00
decreased by 981,328,415.00
Analysis last updated: Tuesday, July 21, 2026 at 12:25 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Apr 20, 2023 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 173286 trading days (~687.6 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 | 0.7447 | 0.01 |
α ARCH Response to squared shocks | 0.2281 | 0.00 |
β GARCH Volatility persistence | 0.7719 | 0.00 |
Spline Coefficients
K=2
| γ1 | 0.6854 | 0.00 |
| γ2 | 1.6047 | 0.00 |
Persistence:
1.000
Half-life:
173286 days
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