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V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Sfa Engineering Corp ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Apr 9, 2003 to Jul 10, 2026

Model 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

ParameterValuet-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***
γi Spline Coefficients
K=1
γ10.0032
2.04**

Persistence:

0.987

Half-life:

54 days