V-Lab
Wolfspeed Inc Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, September 21st, 2026
1 Day
546.95
increased by 104.66
1 Week
619.19
increased by 176.90
1 Month
553.14
increased by 110.85
Analysis last updated: Friday, September 18, 2026 at 11:53 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Sep 29, 2025 to Sep 18, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 4359 trading days (~17.3 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 ~4359 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9623 | 4.67*** |
| αARCH | 0.2774 | 6.16*** |
| βGARCH | 0.7225 | 16.10*** |
Spline Coefficients
K=1
| γ1 | -6.3537 | -1.20 |
1.000
Persistence4359d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9623 | 4.67*** |
α ARCH Response to squared shocks | 0.2774 | 6.16*** |
β GARCH Volatility persistence | 0.7225 | 16.10*** |
Spline Coefficients
K=1
| γ1 | -6.3537 | -1.20 |
Persistence:
1.000
Half-life:
4359 days
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