British Land Co PLC/The 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
906.58
decreased by 16.14
1 Week
911.70
decreased by 11.02
1 Month
857.76
decreased by 64.96
Analysis last updated: Sunday, July 19, 2026 at 03:32 AM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 1, 1990 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 138629 trading days (~550.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4476 | 5.12*** |
α ARCH Response to squared shocks | 0.0348 | 6.36*** |
β GARCH Volatility persistence | 0.9652 | 176.78*** |
Spline Coefficients
K=1
| γ1 | -0.0043 | -0.60 |
Persistence:
1.000
Half-life:
138629 days
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