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V-Lab

Brass Corp Spline ILLIQ Liquidity Analysis

Illiquidity prediction for Friday, August 7th, 2026

1 Day

2,647.86

decreased by 243.68

1 Week

3,097.97

increased by 206.43

1 Month

4,658.69

increased by 1,767.15

Analysis last updated: Friday, August 7, 2026 at 07:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Brass Corp ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Mar 9, 2016 to Jul 31, 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 62 trading days.

μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.6265
4.64***
α

ARCH

Response to squared shocks

0.2146
11.40***
β

GARCH

Volatility persistence

0.7743
39.47***
γi Spline Coefficients
K=2
γ1-0.1619
-4.17***
γ20.3286
4.74***

Persistence:

0.989

Half-life:

62 days