Bank of New York Mellon Corp/The Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Tuesday, November 10th, 2026
1 Day
22.47
increased by 1.75
1 Week
20.40
decreased by 0.32
1 Month
17.94
decreased by 2.78
Analysis last updated: Monday, November 9, 2026 at 10:36 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 Nov 6, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): illiquidity shocks do not decay and the long-run level is undefined, so long-horizon forecasts should be treated with caution.
μ
ILLIQ-SMEM Model
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High persistence: persistence 1.000 ≥ 1, shocks do not decay
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.2281 | |
| αARCH | 0.0854 | |
| βGARCH | 0.9146 |
Spline Coefficients
K=3
| γ1 | 0.0434 | |
| γ2 | -0.1104 | |
| γ3 | 0.1010 |
1.000
Persistence-
Half-lifeμ
ILLIQ-SMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.2281 | |
α ARCH Response to squared shocks | 0.0854 | |
β GARCH Volatility persistence | 0.9146 |
Spline Coefficients
K=3
| γ1 | 0.0434 | |
| γ2 | -0.1104 | |
| γ3 | 0.1010 |
Persistence:
1.000
Half-life:
-
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