786 Investments Ltd 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
11,775.85
increased by 4,095.78
1 Week
5,868.13
decreased by 1,811.94
1 Month
4,501.60
decreased by 3,178.47
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
May 23, 2013 to Jul 10, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 138629 trading days (~550.1 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 | 0.4959 | 0.00 |
α ARCH Response to squared shocks | 0.3136 | 0.00 |
β GARCH Volatility persistence | 0.6864 | 0.00 |
Spline Coefficients
K=10
| γ1 | 3.3628 | 0.00 |
| γ2 | -0.7362 | 0.00 |
| γ3 | -27.8641 | 0.00 |
| γ4 | 63.6577 | 0.00 |
| γ5 | -57.7122 | 0.00 |
| γ6 | 19.6690 | 0.00 |
| γ7 | -1.1894 | 0.00 |
| γ8 | 0.5504 | 0.00 |
| γ9 | -3.1753 | 0.00 |
| γ10 | 6.1359 | 0.00 |
Persistence:
1.000
Half-life:
138629 days
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