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
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Mar 1, 2022 to Jul 16, 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 7 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-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*** |
Spline Coefficients
K=2
| γ1 | -1.7100 | -8.05*** |
| γ2 | 2.7609 | 6.96*** |
Persistence:
0.903
Half-life:
7 days
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