Nanshan Aluminium Internatio Spline ILLIQ Liquidity Analysis
Liquidity prediction for Monday, July 20th, 2026
1 Day
852.10
increased by 22.89
1 Week
887.52
increased by 58.31
1 Month
957.81
increased by 128.60
Analysis last updated: Saturday, July 18, 2026 at 11:32 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Mar 25, 2025 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 29 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1919 | 4.93*** |
α ARCH Response to squared shocks | 0.1606 | 3.69*** |
β GARCH Volatility persistence | 0.8159 | 16.17*** |
Spline Coefficients
K=1
| γ1 | 0.0466 | 0.03 |
Persistence:
0.977
Half-life:
29 days
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