And Factory Inc Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 15th, 2026
1 Day
4,779.30
decreased by 495.21
1 Week
5,480.29
increased by 205.78
1 Month
5,924.56
increased by 650.05
Analysis last updated: Wednesday, July 15, 2026 at 07:52 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Sep 6, 2018 to Jul 10, 2026Model Insight
This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 28 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5615 | 3.26*** |
α ARCH Response to squared shocks | 0.1782 | 7.11*** |
β GARCH Volatility persistence | 0.7977 | 25.82*** |
Spline Coefficients
K=1
| γ1 | -0.0086 | -0.23 |
Persistence:
0.976
Half-life:
28 days
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