AvalonBay Communities Inc 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 20th, 2026
1 Day
97.07
increased by 0.39
1 Week
93.41
decreased by 3.27
1 Month
85.10
decreased by 11.58
Analysis last updated: Friday, July 17, 2026 at 10:40 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Mar 11, 1994 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 693147 trading days (~2750.6 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 | 1.2802 | 5.73*** |
α ARCH Response to squared shocks | 0.0540 | 0.56 |
β GARCH Volatility persistence | 0.9460 | 9.86*** |
Spline Coefficients
K=1
| γ1 | 0.0131 | 0.99 |
Persistence:
1.000
Half-life:
693147 days
Other AvalonBay Communities Inc Analyses
Other Spline ILLIQ Analyses on Real Estate