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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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of British Land Co PLC/The ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jan 1, 1990 to Jul 17, 2026

Model 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

ParameterValuet-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***
γi Spline Coefficients
K=1
γ1-0.0043
-0.60

Persistence:

1.000

Half-life:

138629 days