Advanced Wireless & Antenna 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
3,723.87
increased by 611.91
1 Week
3,639.88
increased by 527.92
1 Month
4,442.53
increased by 1,330.57
Analysis last updated: Wednesday, July 15, 2026 at 09:25 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 21, 2021 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 | 0.5077 | 0.01 |
α ARCH Response to squared shocks | 0.2302 | 0.00 |
β GARCH Volatility persistence | 0.7698 | 0.00 |
Spline Coefficients
K=10
| γ1 | -21.7448 | 0.00 |
| γ2 | 24.0874 | 0.00 |
| γ3 | -3.4005 | 0.00 |
| γ4 | -3.6008 | 0.00 |
| γ5 | -0.3457 | 0.00 |
| γ6 | -14.0160 | 0.00 |
| γ7 | 48.9247 | 0.00 |
| γ8 | -17.9255 | 0.00 |
| γ9 | -32.3664 | 0.00 |
| γ10 | 17.6495 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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