V-Lab
Arqit Quantum Inc Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, July 27th, 2026
1 Day
9,125.36
increased by 3,233.40
1 Week
6,917.70
increased by 1,025.74
1 Month
5,856.45
decreased by 35.51
Analysis last updated: Friday, July 24, 2026 at 09:30 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Feb 4, 2021 to Jul 24, 2026Model Insight
This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 35 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 43.2569 | 2.91*** |
α ARCH Response to squared shocks | 0.2046 | 9.75*** |
β GARCH Volatility persistence | 0.7757 | 28.75*** |
Spline Coefficients
K=3
| γ1 | 5.7359 | 6.37*** |
| γ2 | -8.3360 | -6.83*** |
| γ3 | 4.3018 | 7.46*** |
Persistence:
0.980
Half-life:
35 days
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