Amazia 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
675.88
decreased by 4.12
1 Week
708.09
increased by 28.09
1 Month
5,810.05
increased by 5,130.05
Analysis last updated: Sunday, July 19, 2026 at 01:29 AM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 20, 2018 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 86643 trading days (~343.8 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 | 1.0564 | 0.58 |
α ARCH Response to squared shocks | 0.2147 | 0.05 |
β GARCH Volatility persistence | 0.7853 | 0.17 |
Spline Coefficients
K=1
| γ1 | -0.2941 | -0.13 |
Persistence:
1.000
Half-life:
86643 days
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