Sfa Engineering Corp Spline ILLIQ Liquidity Analysis
Liquidity prediction for Monday, July 13th, 2026
1 Day
15.52
increased by 1.97
1 Week
14.72
increased by 1.17
1 Month
12.29
decreased by 1.26
Analysis last updated: Sunday, July 12, 2026 at 12:34 AM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Apr 9, 2003 to Jul 10, 2026Model Insight
This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 54 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.0145 | 9.75*** |
α ARCH Response to squared shocks | 0.1221 | 15.52*** |
β GARCH Volatility persistence | 0.8651 | 101.24*** |
Spline Coefficients
K=1
| γ1 | 0.0032 | 2.04** |
Persistence:
0.987
Half-life:
54 days
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