Nms Holdings Corp Spline ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
379.82
decreased by 80.69
1 Week
413.29
decreased by 47.22
1 Month
279.39
decreased by 181.12
Analysis last updated: Sunday, July 19, 2026 at 01:10 AM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Oct 25, 2007 to Jul 17, 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 35 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6696 | 3.02*** |
α ARCH Response to squared shocks | 0.2687 | 14.37*** |
β GARCH Volatility persistence | 0.7115 | 33.77*** |
Spline Coefficients
K=7
| γ1 | -1.4106 | -7.85*** |
| γ2 | 1.9936 | 5.75*** |
| γ3 | -0.8989 | -2.81*** |
| γ4 | 0.6813 | 2.83*** |
| γ5 | -0.5511 | -3.16*** |
| γ6 | 0.2695 | 1.87* |
| γ7 | -0.0059 | -0.02 |
Persistence:
0.980
Half-life:
35 days
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