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
Liquidity prediction for Monday, July 20th, 2026
1 Day
25.35
decreased by 0.45
1 Week
28.03
increased by 2.23
1 Month
32.20
increased by 6.40
Analysis last updated: Friday, July 17, 2026 at 10:38 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Feb 27, 1998 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 693147 trading days (~2750.6 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 | 1.0679 | 0.10 |
α ARCH Response to squared shocks | 0.0927 | 0.05 |
β GARCH Volatility persistence | 0.9073 | 0.51 |
Spline Coefficients
K=1
| γ1 | 0.0257 | 0.03 |
Persistence:
1.000
Half-life:
693147 days
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