Cayenne Entertainment Tech Spline ILLIQ Liquidity Analysis
Liquidity prediction for Friday, July 17th, 2026
1 Day
14,827.36
decreased by 1,736.98
1 Week
9,803.04
decreased by 6,761.30
1 Month
4,092.15
decreased by 12,472.19
Analysis last updated: Friday, July 17, 2026 at 09:20 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
May 31, 2010 to Jul 3, 2026Model Insight
With persistence 0.992, illiquidity shocks have a half-life of 90 trading days (~0.4 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 | 32.1803 | 4.72*** |
α ARCH Response to squared shocks | 0.3647 | 7.01*** |
β GARCH Volatility persistence | 0.6276 | 11.60*** |
Spline Coefficients
K=10
| γ1 | -1.7071 | -3.06*** |
| γ2 | 5.7076 | 4.26*** |
| γ3 | -28.5146 | -2.57** |
| γ4 | 53.6697 | 2.24** |
| γ5 | -33.8004 | -2.07** |
| γ6 | 8.2349 | 1.44 |
| γ7 | -7.3778 | -1.39 |
| γ8 | 6.0567 | 1.13 |
| γ9 | -8.2736 | -1.82* |
| γ10 | 8.7870 | 3.37*** |
Persistence:
0.992
Half-life:
90 days
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