Boston Scientific Corp Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Monday, July 20th, 2026
1 Day
22.35
increased by 0.33
1 Week
20.35
decreased by 1.67
1 Month
18.99
decreased by 3.03
Analysis last updated: Friday, July 17, 2026 at 10:44 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
May 20, 1992 to Jul 17, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1726 | 1.01 |
α ARCH Response to squared shocks | 0.0732 | 0.05 |
β GARCH Volatility persistence | 0.9268 | 0.68 |
Spline Coefficients
K=1
| γ1 | 0.0166 | 0.31 |
Persistence:
1.000
Half-life:
-
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