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Xspray Pharma Ab 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, August 17th, 2026

1 Day

18,462.37

decreased by 2,323.80

1 Week

22,918.54

increased by 2,132.37

1 Month

24,534.62

increased by 3,748.45

Analysis last updated: Sunday, August 16, 2026 at 01:17 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

All

graph of Xspray Pharma Ab ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Sep 28, 2017 to Aug 14, 2026

Model 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

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.8368
5.66***
α

ARCH

Response to squared shocks

0.1216
0.05
β

GARCH

Volatility persistence

0.8784
0.40
γi Spline Coefficients
K=1
γ1-0.2025
-0.04

Persistence:

1.000

Half-life:

138629 days