TMH Inc Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
10,439.84
increased by 4,235.27
1 Week
4,751.83
decreased by 1,452.74
1 Month
1,597.87
decreased by 4,606.70
Analysis last updated: Sunday, July 19, 2026 at 12:50 AM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 4, 2024 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 138629 trading days (~550.1 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 | 0.8002 | 0.01 |
α ARCH Response to squared shocks | 0.2905 | 0.00 |
β GARCH Volatility persistence | 0.7095 | 0.00 |
Spline Coefficients
K=1
| γ1 | 4.0010 | 0.00 |
Persistence:
1.000
Half-life:
138629 days
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