V-Lab
Brass Corp Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, August 24th, 2026
1 Day
3,493.07
decreased by 256.93
1 Week
3,583.76
decreased by 166.24
1 Month
2,931.01
decreased by 818.99
Analysis last updated: Saturday, August 22, 2026 at 10:57 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Mar 9, 2016 to Aug 21, 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 57 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4370 | 6.80*** |
α ARCH Response to squared shocks | 0.1983 | 11.26*** |
β GARCH Volatility persistence | 0.7896 | 43.03*** |
Spline Coefficients
K=1
| γ1 | 0.0465 | 2.94*** |
Persistence:
0.988
Half-life:
57 days
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