Apartment Investment & Management Co Spline ILLIQ Liquidity Analysis
Liquidity prediction for Monday, July 20th, 2026
1 Day
2,634.15
increased by 211.32
1 Week
2,306.05
decreased by 116.78
1 Month
1,948.82
decreased by 474.01
Analysis last updated: Friday, July 17, 2026 at 10:37 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jul 22, 1994 to Jul 17, 2026Model Insight
This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 67 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1477 | 5.64*** |
α ARCH Response to squared shocks | 0.0812 | 13.86*** |
β GARCH Volatility persistence | 0.9085 | 130.16*** |
Spline Coefficients
K=5
| γ1 | -0.0597 | -4.15*** |
| γ2 | 0.0890 | 4.10*** |
| γ3 | -0.0388 | -2.41** |
| γ4 | 0.0225 | 1.41 |
| γ5 | -0.0152 | -0.71 |
Persistence:
0.990
Half-life:
67 days
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