Realpha Tech Corp 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
637,092.70
decreased by 3,742.80
1 Week
617,564.34
decreased by 23,271.16
1 Month
505,264.24
decreased by 135,571.26
Analysis last updated: Monday, July 13, 2026 at 09:17 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Oct 23, 2023 to Jul 10, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 86643 trading days (~343.8 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 | 1.3112 | 0.65 |
α ARCH Response to squared shocks | 0.2776 | 0.13 |
β GARCH Volatility persistence | 0.7224 | 0.34 |
Spline Coefficients
K=1
| γ1 | 0.4787 | 0.01 |
Persistence:
1.000
Half-life:
86643 days
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