Bristol-Myers Squibb Co Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Tuesday, October 13th, 2026
1 Day
16.97
increased by 0.16
1 Week
17.38
increased by 0.57
1 Month
18.49
increased by 1.68
Analysis last updated: Monday, October 12, 2026 at 09:42 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 2, 1990 to Oct 9, 2026Model Insight
With persistence 0.998, illiquidity shocks have a half-life of 424 trading days (~1.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
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High persistence: persistence 0.998, shock half-life ~424 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.0409 | 9.57*** |
| αARCH | 0.0473 | 13.57*** |
| βGARCH | 0.9511 | 262.08*** |
Spline Coefficients
K=1
| γ1 | -0.0030 | -3.01*** |
0.998
Persistence424d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0409 | 9.57*** |
α ARCH Response to squared shocks | 0.0473 | 13.57*** |
β GARCH Volatility persistence | 0.9511 | 262.08*** |
Spline Coefficients
K=1
| γ1 | -0.0030 | -3.01*** |
Persistence:
0.998
Half-life:
424 days
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