Utopya Turizm Insaat Islet 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 Thursday, October 15th, 2026
1 Day
7,350.86
increased by 1,429.03
1 Week
5,714.63
decreased by 207.20
1 Month
4,141.19
decreased by 1,780.64
Analysis last updated: Thursday, October 15, 2026 at 09:08 PM UTC
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How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 13, 2011 to Oct 9, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 99021 trading days (~392.9 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 ~99021 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8003 | 0.01 |
| αARCH | 0.1997 | 0.00 |
| βGARCH | 0.8003 | 0.00 |
Spline Coefficients
K=10
| γ1 | -1.7962 | 0.00 |
| γ2 | 8.4933 | 0.00 |
| γ3 | -14.1220 | 0.00 |
| γ4 | 10.7072 | 0.00 |
| γ5 | -4.5798 | 0.00 |
| γ6 | 2.1969 | 0.00 |
| γ7 | -1.1941 | 0.00 |
| γ8 | -0.8243 | 0.00 |
| γ9 | 2.6883 | 0.00 |
| γ10 | -2.0545 | 0.00 |
1.000
Persistence99021d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8003 | 0.01 |
α ARCH Response to squared shocks | 0.1997 | 0.00 |
β GARCH Volatility persistence | 0.8003 | 0.00 |
Spline Coefficients
K=10
| γ1 | -1.7962 | 0.00 |
| γ2 | 8.4933 | 0.00 |
| γ3 | -14.1220 | 0.00 |
| γ4 | 10.7072 | 0.00 |
| γ5 | -4.5798 | 0.00 |
| γ6 | 2.1969 | 0.00 |
| γ7 | -1.1941 | 0.00 |
| γ8 | -0.8243 | 0.00 |
| γ9 | 2.6883 | 0.00 |
| γ10 | -2.0545 | 0.00 |
Persistence:
1.000
Half-life:
99021 days
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