M3 Technology 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
577.99
increased by 75.01
1 Week
491.82
decreased by 11.16
1 Month
505.87
increased by 2.89
Analysis last updated: Wednesday, July 15, 2026 at 08:41 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Nov 27, 2020 to Jul 3, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 86643 trading days (~343.8 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 | 1.2726 | 0.19 |
α ARCH Response to squared shocks | 0.2107 | 0.02 |
β GARCH Volatility persistence | 0.7893 | 0.06 |
Spline Coefficients
K=1
| γ1 | -0.2364 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
Other M3 Technology Inc Analyses
Other Spline ILLIQ Analyses on International Equities