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
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
May 29, 2002 to Jul 10, 2026Model 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
| Parameter | Value | t-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*** |
Spline Coefficients
K=5
| γ1 | 0.1030 | 0.88 |
| γ2 | -0.1340 | -0.83 |
| γ3 | -0.0174 | -0.13 |
| γ4 | 0.1265 | 0.67 |
| γ5 | -0.5990 | -2.14** |
Persistence:
0.997
Half-life:
203 days
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