ArrowMark Financial Corp Spline ILLIQ Liquidity Analysis
Liquidity prediction for Thursday, July 16th, 2026
1 Day
8,337.91
decreased by 474.06
1 Week
9,491.97
increased by 680.00
1 Month
10,966.38
increased by 2,154.41
Analysis last updated: Wednesday, July 15, 2026 at 09:43 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Nov 7, 2013 to Jul 10, 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 31 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.9747 | 7.39*** |
α ARCH Response to squared shocks | 0.1185 | 8.46*** |
β GARCH Volatility persistence | 0.8594 | 54.91*** |
Spline Coefficients
K=1
| γ1 | -0.0150 | -2.99*** |
Persistence:
0.978
Half-life:
31 days
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