Wim Plast Ltd 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 Tuesday, June 9th, 2026
1 Day
3,699.73
decreased by 948.55
1 Week
5,279.44
increased by 631.16
1 Month
6,906.93
increased by 2,258.65
Analysis last updated: Wednesday, September 2, 2026 at 05:08 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 6, 2009 to Jun 8, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 138629 trading days (~550.1 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 ~138629 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.6516 | 0.00 |
| αARCH | 0.2234 | 0.00 |
| βGARCH | 0.7766 | 0.00 |
Spline Coefficients
K=10
| γ1 | 3.0577 | 0.00 |
| γ2 | -10.5242 | 0.00 |
| γ3 | 14.9304 | 0.00 |
| γ4 | -11.1185 | 0.00 |
| γ5 | 4.8187 | 0.00 |
| γ6 | -2.0681 | 0.00 |
| γ7 | 1.2705 | 0.00 |
| γ8 | -0.4061 | 0.00 |
| γ9 | 0.0573 | 0.00 |
| γ10 | 0.2993 | 0.00 |
1.000
Persistence138629d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6516 | 0.00 |
α ARCH Response to squared shocks | 0.2234 | 0.00 |
β GARCH Volatility persistence | 0.7766 | 0.00 |
Spline Coefficients
K=10
| γ1 | 3.0577 | 0.00 |
| γ2 | -10.5242 | 0.00 |
| γ3 | 14.9304 | 0.00 |
| γ4 | -11.1185 | 0.00 |
| γ5 | 4.8187 | 0.00 |
| γ6 | -2.0681 | 0.00 |
| γ7 | 1.2705 | 0.00 |
| γ8 | -0.4061 | 0.00 |
| γ9 | 0.0573 | 0.00 |
| γ10 | 0.2993 | 0.00 |
Persistence:
1.000
Half-life:
138629 days
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