American Tower Corp Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Wednesday, October 28th, 2026
1 Day
0.00
decreased by 26.07
1 Week
22.40
decreased by 3.67
1 Month
24.03
decreased by 2.04
Analysis last updated: Tuesday, October 27, 2026 at 10:21 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Feb 27, 1998 to Oct 23, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): illiquidity shocks do not decay and the long-run level is undefined, so long-horizon forecasts should be treated with caution.
μ
ILLIQ-SMEM Model
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High persistence: persistence 1.000 ≥ 1, shocks do not decay
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.0853 | |
| αARCH | 0.1076 | |
| βGARCH | 0.8924 |
Spline Coefficients
K=2
| γ1 | 0.0652 | |
| γ2 | -0.0806 |
1.000
Persistence-
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0853 | |
α ARCH Response to squared shocks | 0.1076 | |
β GARCH Volatility persistence | 0.8924 |
Spline Coefficients
K=2
| γ1 | 0.0652 | |
| γ2 | -0.0806 |
Persistence:
1.000
Half-life:
-
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