Abhotel Co Ltd Spline ILLIQ Liquidity Analysis
Liquidity prediction for Friday, July 17th, 2026
1 Day
10,040.20
decreased by 850.48
1 Week
6,591.94
decreased by 4,298.74
1 Month
3,757.01
decreased by 7,133.67
Analysis last updated: Friday, July 17, 2026 at 07:36 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 25, 2017 to Jul 10, 2026Model Insight
With persistence 0.997, illiquidity shocks have a half-life of 201 trading days (~0.8 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 | 1.1845 | 1.92* |
α ARCH Response to squared shocks | 0.1574 | 11.30*** |
β GARCH Volatility persistence | 0.8392 | 61.38*** |
Spline Coefficients
K=2
| γ1 | -0.4936 | -3.80*** |
| γ2 | 1.0822 | 3.70*** |
Persistence:
0.997
Half-life:
201 days
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