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Analyst Investment Management Services Spline ILLIQ Liquidity Analysis

Liquidity prediction for Sunday, July 12th, 2026

1 Day

2,908.40

increased by 1,259.74

1 Week

1,866.17

increased by 217.51

1 Month

2,181.31

increased by 532.65

Analysis last updated: Saturday, July 11, 2026 at 10:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Analyst Investment Management Services ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

May 29, 2002 to Jul 10, 2026

Model Insight

With persistence 0.997, illiquidity shocks have a half-life of 203 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.0131
3.42***
α

ARCH

Response to squared shocks

0.0560
6.79***
β

GARCH

Volatility persistence

0.9405
93.28***
γi Spline Coefficients
K=5
γ10.1030
0.88
γ2-0.1340
-0.83
γ3-0.0174
-0.13
γ40.1265
0.67
γ5-0.5990
-2.14**

Persistence:

0.997

Half-life:

203 days