Galaxy Software Services COR 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 Friday, July 17th, 2026
1 Day
9,225.67
decreased by 1,683.01
1 Week
7,970.12
decreased by 2,938.56
1 Month
4,932.25
decreased by 5,976.43
Analysis last updated: Friday, July 17, 2026 at 09:24 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 10, 2020 to Jul 3, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 99021 trading days (~392.9 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 | 0.6094 | 0.00 |
α ARCH Response to squared shocks | 0.2587 | 0.00 |
β GARCH Volatility persistence | 0.7413 | 0.00 |
Spline Coefficients
K=6
| γ1 | -5.0924 | 0.00 |
| γ2 | 5.5391 | 0.00 |
| γ3 | -8.8732 | -0.05 |
| γ4 | 19.8241 | 0.01 |
| γ5 | -16.4031 | 0.00 |
| γ6 | 7.2889 | 0.00 |
Persistence:
1.000
Half-life:
99021 days
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