Aqylon Nexus Ltd 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 Tuesday, July 21st, 2026
1 Day
7,134.43
increased by 6,022.74
1 Week
1,959.94
increased by 848.25
1 Month
927.60
decreased by 184.09
Analysis last updated: Tuesday, July 21, 2026 at 07:03 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Sep 10, 2001 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 173286 trading days (~687.6 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 | 0.7767 | 0.00 |
α ARCH Response to squared shocks | 0.2270 | 0.00 |
β GARCH Volatility persistence | 0.7730 | 0.00 |
Spline Coefficients
K=6
| γ1 | -0.3588 | 0.00 |
| γ2 | -0.0563 | 0.00 |
| γ3 | 2.3010 | 0.00 |
| γ4 | -2.7374 | 0.00 |
| γ5 | 1.0740 | 0.00 |
| γ6 | -2.9916 | 0.00 |
Persistence:
1.000
Half-life:
173286 days
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