Gmo Media Inc Spline ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
8,200.01
decreased by 1,003.29
1 Week
5,443.58
decreased by 3,759.72
1 Month
2,756.94
decreased by 6,446.36
Analysis last updated: Sunday, July 19, 2026 at 01:51 AM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Oct 23, 2015 to Jul 17, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 831 trading days (~3.3 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 | 1.1702 | 1.93* |
α ARCH Response to squared shocks | 0.1585 | 9.34*** |
β GARCH Volatility persistence | 0.8406 | 49.37*** |
Spline Coefficients
K=1
| γ1 | -0.0909 | -4.54*** |
Persistence:
0.999
Half-life:
831 days
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