Basilic FLY Studio Limited Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 15th, 2026
1 Day
3,766.90
increased by 742.63
1 Week
3,841.74
increased by 817.47
1 Month
5,056.02
increased by 2,031.75
Analysis last updated: Wednesday, July 15, 2026 at 07:23 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Sep 11, 2023 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 11 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6108 | 6.88*** |
α ARCH Response to squared shocks | 0.2156 | 4.12*** |
β GARCH Volatility persistence | 0.7219 | 14.34*** |
Spline Coefficients
K=1
| γ1 | -0.2576 | -1.39 |
Persistence:
0.938
Half-life:
11 days
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