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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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of AvalonBay Communities Inc ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Mar 11, 1994 to Jul 17, 2026

Model 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

ParameterValuet-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***
γi Spline Coefficients
K=1
γ10.0131
0.99

Persistence:

1.000

Half-life:

693147 days