Disa India Ltd Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 22nd, 2026
1 Day
5,720.07
increased by 2,553.50
1 Week
3,713.10
increased by 546.53
1 Month
3,186.04
increased by 19.47
Analysis last updated: Wednesday, July 22, 2026 at 07:04 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Oct 16, 2007 to Jul 17, 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 28 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8936 | 4.89*** |
α ARCH Response to squared shocks | 0.0984 | 5.37*** |
β GARCH Volatility persistence | 0.8770 | 32.39*** |
Spline Coefficients
K=9
| γ1 | 1.2264 | 3.83*** |
| γ2 | -2.1022 | -3.70*** |
| γ3 | 1.3991 | 2.99*** |
| γ4 | -1.0135 | -3.20*** |
| γ5 | 0.9288 | 3.29*** |
| γ6 | -1.0963 | -3.35*** |
| γ7 | 1.1274 | 3.82*** |
| γ8 | -0.2792 | -0.99 |
| γ9 | -0.9467 | -1.71* |
Persistence:
0.975
Half-life:
28 days
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