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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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Banco Santander Sa ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jan 2, 2007 to Jul 3, 2026

Model 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

ParameterValuet-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***
γi Spline Coefficients
K=5
γ1-0.0876
-1.71*
γ20.0081
0.10
γ30.2266
3.75***
γ4-0.2341
-3.84***
γ50.2581
3.36***

Persistence:

0.983

Half-life:

41 days