Banco Santander Sa Spline ILLIQ Liquidity Analysis
Liquidity prediction for Thursday, July 9th, 2026
1 Day
4,637.13
increased by 1,253.25
1 Week
3,440.83
increased by 56.95
1 Month
2,671.32
decreased by 712.56
Analysis last updated: Thursday, July 9, 2026 at 08:38 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 2, 2007 to Jul 3, 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 41 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.5937 | 5.48*** |
α ARCH Response to squared shocks | 0.0596 | 7.91*** |
β GARCH Volatility persistence | 0.9235 | 88.05*** |
Spline Coefficients
K=5
| γ1 | -0.0876 | -1.71* |
| γ2 | 0.0081 | 0.10 |
| γ3 | 0.2266 | 3.75*** |
| γ4 | -0.2341 | -3.84*** |
| γ5 | 0.2581 | 3.36*** |
Persistence:
0.983
Half-life:
41 days
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