Uniform Industrial Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 22nd, 2026
1 Day
2,190.64
decreased by 253.51
1 Week
2,465.81
increased by 21.66
1 Month
3,410.70
increased by 966.55
Analysis last updated: Wednesday, July 22, 2026 at 08:18 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Feb 15, 2002 to Jul 17, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 486 trading days (~1.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1736 | 4.33*** |
α ARCH Response to squared shocks | 0.1961 | 14.83*** |
β GARCH Volatility persistence | 0.8025 | 57.36*** |
Spline Coefficients
K=6
| γ1 | -0.3995 | -4.09*** |
| γ2 | 0.6509 | 4.22*** |
| γ3 | -0.4784 | -4.13*** |
| γ4 | 0.4783 | 5.33*** |
| γ5 | -0.6773 | -9.23*** |
| γ6 | 1.0945 | 9.35*** |
Persistence:
0.999
Half-life:
486 days
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