Aqualis ASA 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 13th, 2026
1 Day
30,060.87
decreased by 1,106.58
1 Week
34,902.05
increased by 3,734.60
1 Month
30,954.69
decreased by 212.76
Analysis last updated: Sunday, July 12, 2026 at 12:54 AM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Aug 13, 2014 to Jul 10, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 86643 trading days (~343.8 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 | 38.5364 | 0.00 |
α ARCH Response to squared shocks | 0.2856 | 0.00 |
β GARCH Volatility persistence | 0.7144 | 0.00 |
Spline Coefficients
K=10
| γ1 | -5.8366 | 0.00 |
| γ2 | 10.2185 | 0.00 |
| γ3 | -8.5204 | 0.00 |
| γ4 | 9.2011 | 0.01 |
| γ5 | -17.5114 | -0.01 |
| γ6 | 29.2627 | 0.23 |
| γ7 | -27.5202 | -0.01 |
| γ8 | 15.4802 | 0.00 |
| γ9 | -7.2731 | 0.00 |
| γ10 | 4.0229 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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