Abbott Laboratories Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 22nd, 2026
1 Day
15.63
increased by 0.52
1 Week
15.34
increased by 0.23
1 Month
14.29
decreased by 0.82
Analysis last updated: Tuesday, July 21, 2026 at 09:38 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 527 trading days (~2.1 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 | 1.0125 | 7.79*** |
α ARCH Response to squared shocks | 0.0466 | 13.89*** |
β GARCH Volatility persistence | 0.9521 | 282.44*** |
Spline Coefficients
K=1
| γ1 | -0.0013 | -1.32 |
Persistence:
0.999
Half-life:
527 days
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