ARE Holdings 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 Wednesday, July 15th, 2026
1 Day
8.66
increased by 0.48
1 Week
9.34
increased by 1.16
1 Month
12.04
increased by 3.86
Analysis last updated: Wednesday, July 15, 2026 at 07:39 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Feb 28, 2000 to Jul 10, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 231049 trading days (~916.9 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 | 1.5290 | 0.17 |
α ARCH Response to squared shocks | 0.1198 | 0.04 |
β GARCH Volatility persistence | 0.8802 | 0.26 |
Spline Coefficients
K=2
| γ1 | -0.0427 | -0.01 |
| γ2 | 0.0462 | 0.01 |
Persistence:
1.000
Half-life:
231049 days
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