Crops Corp Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 15th, 2026
1 Day
5,844.27
increased by 291.26
1 Week
5,599.12
increased by 46.11
1 Month
6,729.02
increased by 1,176.01
Analysis last updated: Wednesday, July 15, 2026 at 08:05 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Aug 11, 2005 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 62 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0432 | 4.79*** |
α ARCH Response to squared shocks | 0.1806 | 13.89*** |
β GARCH Volatility persistence | 0.8083 | 56.67*** |
Spline Coefficients
K=3
| γ1 | -0.1701 | -10.97*** |
| γ2 | 0.2838 | 11.50*** |
| γ3 | -0.1459 | -5.88*** |
Persistence:
0.989
Half-life:
62 days
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