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Abbott Laboratories Spline ILLIQ Liquidity Analysis

Illiquidity prediction for Friday, September 11th, 2026

1 Day

14.79

increased by 0.39

1 Week

14.66

increased by 0.26

1 Month

14.37

decreased by 0.03

Analysis last updated: Thursday, September 10, 2026 at 09:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Abbott Laboratories ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Jan 2, 1990 to Sep 4, 2026

Model Insight

With persistence 0.999, illiquidity shocks have a half-life of 528 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

High persistence: persistence 0.999, shock half-life ~528 days
ParamValuet-stat
ωconst1.0114
7.80***
αARCH0.0462
13.87***
βGARCH0.9524
284.06***
γi Spline Coefficients
K=1
γ1-0.0013
-1.36

0.999

Persistence

528d

Half-life
μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.0114
7.80***
α

ARCH

Response to squared shocks

0.0462
13.87***
β

GARCH

Volatility persistence

0.9524
284.06***
γi Spline Coefficients
K=1
γ1-0.0013
-1.36

Persistence:

0.999

Half-life:

528 days