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Saudi AZM FOR Comm And Info Spline ILLIQ Liquidity Analysis

Liquidity prediction for Sunday, July 19th, 2026

1 Day

5,640.09

decreased by 2,226.78

1 Week

7,108.37

decreased by 758.50

1 Month

6,706.16

decreased by 1,160.71

Analysis last updated: Friday, July 17, 2026 at 08:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

All

graph of Saudi AZM FOR Comm And Info ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Mar 1, 2022 to Jul 16, 2026

Model 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 7 trading days.

μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.8657
1.58
α

ARCH

Response to squared shocks

0.4377
3.86***
β

GARCH

Volatility persistence

0.4653
9.72***
γi Spline Coefficients
K=2
γ1-1.7100
-8.05***
γ22.7609
6.96***

Persistence:

0.903

Half-life:

7 days