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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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Aqylon Nexus Ltd ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Sep 10, 2001 to Jul 17, 2026

Model 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

ParameterValuet-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
γi Spline Coefficients
K=6
γ1-0.3588
0.00
γ2-0.0563
0.00
γ32.3010
0.00
γ4-2.7374
0.00
γ51.0740
0.00
γ6-2.9916
0.00

Persistence:

1.000

Half-life:

173286 days