Aaa Technologies Limited 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 Tuesday, July 14th, 2026
1 Day
4,154.48
decreased by 432.28
1 Week
4,944.73
increased by 357.97
1 Month
6,195.59
increased by 1,608.83
Analysis last updated: Tuesday, July 14, 2026 at 06:58 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Oct 13, 2020 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 | 0.7758 | 2.45** |
α ARCH Response to squared shocks | 0.1520 | 0.01 |
β GARCH Volatility persistence | 0.8480 | 0.07 |
Spline Coefficients
K=1
| γ1 | -0.4584 | -0.01 |
Persistence:
1.000
Half-life:
138629 days
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