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Sfa Engineering Corp Spline ILLIQ Liquidity Analysis

Illiquidity prediction for Wednesday, September 9th, 2026

1 Day

9.74

decreased by 0.66

1 Week

9.81

decreased by 0.59

1 Month

10.94

increased by 0.54

Analysis last updated: Wednesday, September 9, 2026 at 08:07 PM 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 illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Apr 9, 2003 to Sep 4, 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 53 trading days.

μ

ILLIQ-SMEM Model

Tap to view equation

Time-varying baseline: illiquidity reverts to a slowly-shifting spline trend
ParamValuet-stat
ωconst2.0147
9.81***
αARCH0.1222
15.58***
βGARCH0.8649
101.54***
γi Spline Coefficients
K=1
γ10.0032
2.08**

0.987

Persistence

53d

Half-life
μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

2.0147
9.81***
α

ARCH

Response to squared shocks

0.1222
15.58***
β

GARCH

Volatility persistence

0.8649
101.54***
γi Spline Coefficients
K=1
γ10.0032
2.08**

Persistence:

0.987

Half-life:

53 days