AGNT Inc 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
5,983.13
increased by 670.02
1 Week
5,507.26
increased by 194.15
1 Month
4,781.12
decreased by 531.99
Analysis last updated: Tuesday, July 14, 2026 at 09:18 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 29, 2014 to Jul 10, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 77016 trading days (~305.6 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 | 0.7420 | 3.18*** |
α ARCH Response to squared shocks | 0.1129 | 1.06 |
β GARCH Volatility persistence | 0.8871 | 8.38*** |
Spline Coefficients
K=1
| γ1 | -0.0254 | -0.05 |
Persistence:
1.000
Half-life:
77016 days
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